| 中国创业板市场收益率波动性的贝叶斯分析 |
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| 引用本文： | 李世纪.中国创业板市场收益率波动性的贝叶斯分析[J].南阳师范学院学报,2011,10(9):17-19. |
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| 作者姓名： | 李世纪 |
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| 作者单位： | [1]河南财经政法大学统计学系,河南郑州450002;[2]河南财经政法大学成功学院,河南郑州451200 |
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| 摘 要： | 采用随机波动（SV）模型,实证研究我国创业板市场收益率的波动性.通过基于Gibbs抽样的贝叶斯分析方法,较好地估计了模型参数.基于创业板市场数据的实证结果表明,带杠杆效应的SV-L模型相比基本的SV-N模型能更好地描述股票市场收益率的波动性.
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| 关 键 词： | 随机波动模型 贝叶斯分析 Gibbs抽样 MCMC |
Bayesian analysis on stock return volatility of the growth enterprise market in China |
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| LI Shi-ji.Bayesian analysis on stock return volatility of the growth enterprise market in China[J].Journal of Nanyang Teachers College,2011,10(9):17-19. |
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| Authors: | LI Shi-ji |
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| Institution: | LI Shi-ji1,2(1.Statistics Department,Henan University of Economics and Law,Zhengzhou 450002,China,2.Chenggong School,Zhengzhou 451200,China) |
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| Abstract: | The volatility of the growth enterprise market in China is investigated using stochastic volatility model,and Bayesian analysis based on Gibbs sampling is introduced to improve the parameters estimation in stochastic volatility model.Empirical results on growth enterprise market indicate that the SV model with leverage effect(SV-L)outperforms the basic SV model(SV-N)in capturing the volatility of the stock market returns. |
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| Keywords: | stochastic volatility model Bayesian analysis Gibbs sampling MCMC |
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