| 上证指数波动率和收益率长期依赖关系的实证研究 |
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| 引用本文： | 王国治.上证指数波动率和收益率长期依赖关系的实证研究[J].华南理工大学学报(社会科学版),2011,13(4):33-36,73. |
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| 作者姓名： | 王国治 |
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| 作者单位： | 华南理工大学金融工程研究中心,广东广州,510006 |
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| 摘 要： | 运用经典的和修正过的重标极差方法研究了在1999到2009上证指数中的波动率和收益率的长期依赖关系。运用具有预白（pre-whitening）和后黑（postblackening）的Moving block bootstrap方法为假设检验构建置信区间。结果显示上证指数的收益率没有显著的长期相关。但是，波动率具有显著的长期相关。关于收益率的研究和之前一些研究提出的中国股票市场具有可持续性的结论相抵触。并且，之前这方面的研究大多数没有运用置信区间或只是基于标准正态分布的置信区间。因此，这些研究的结果需要从新检验和从新进行解释。
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| 关 键 词： | 长期相关 重标极差 修正的重标极差 bootstrapping |
Long-range Dependence in Returns and Volatility of Shanghai Composite Index |
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| Wang Guo-zhi.Long-range Dependence in Returns and Volatility of Shanghai Composite Index[J].Journal of South China University of Technology(Social Science Edition),2011,13(4):33-36,73. |
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| Authors: | Wang Guo-zhi |
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| Institution: | Wang Guo-zhi(Research Center of Financial Engineering,South China University of Technology,Guangzhou 510006,Guangdong,China) |
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| Abstract: | This paper researches on the presence of long-range dependence in returns and volatility of SSE between years 1999 and 2009 with the use of classical and modified rescaled range.Moving block bootstrap with pre-whitening and postblackening is used for the construction of confidence intervals for the hypothesis testing.We show that there is no significant long-range dependence in returns of SSE.However,significant long-range dependence is detected in volatility of SSE.The results for returns are contradictory... |
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| Keywords: | long-range dependence rescaled range modified rescaled range bootstrapping |
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