上证综指马尔可夫转换模型的MCMC估计和分析
发布时间：2019-05-21 20:32
【摘要】：引入结构突变,对上证综指马尔可夫转换-ARCH模型通过马尔可夫蒙特卡罗方法(MCMC方法)进行估计。在30000次参数模拟之后,本文得到稳健、可靠的结果,似然比检验显示本文模型好于几乎所有GARCH族模型。本文结论:(1)相对于世界主要股市,中国股市各波动状态的持续时间短、波动幅度大;(2)不像其他股市,中国股市的波动不能反应国内外的政治经济状况的变化;(3)中国股市中等波动状态的收益率显著大于0。这些结论提供了一个认识中国股市波动性的全新视角,还揭示了一种基于模型的实用数量投资方法,最后本文提出了完善中国股市的相关建议。
[Abstract]:In this paper, the structural mutation is introduced to estimate the Markov transformation-ARCH model of Shanghai Composite Index by Markov Monte Carlo method (MCMC method). After 30000 parameter simulations, the robust and reliable results are obtained, and the likelihood ratio test shows that the proposed model is better than almost all GARCH family models. The conclusions of this paper are as follows: (1) compared with the major stock markets in the world, the volatility of the Chinese stock market has a short duration and a large fluctuation range, (2) unlike other stock markets, the volatility of the Chinese stock market can not reflect the changes of the political and economic situation at home and abroad. (3) the yield of medium volatility in Chinese stock market is significantly greater than 0. 5%. These conclusions provide a new perspective to understand the volatility of Chinese stock market, and also reveal a practical quantitative investment method based on the model. Finally, this paper puts forward some suggestions to improve the Chinese stock market.
【作者单位】： 复旦大学经济学院;
【基金】：复旦大学(教育部)金融创新研究生开放实验室资助项目;复旦大学研究生创新基金资助项目 上海市重点学科建设项目(B101)
【分类号】：F224;F832.51
[Abstract]:In this paper, the structural mutation is introduced to estimate the Markov transformation-ARCH model of Shanghai Composite Index by Markov Monte Carlo method (MCMC method). After 30000 parameter simulations, the robust and reliable results are obtained, and the likelihood ratio test shows that the proposed model is better than almost all GARCH family models. The conclusions of this paper are as follows: (1) compared with the major stock markets in the world, the volatility of the Chinese stock market has a short duration and a large fluctuation range, (2) unlike other stock markets, the volatility of the Chinese stock market can not reflect the changes of the political and economic situation at home and abroad. (3) the yield of medium volatility in Chinese stock market is significantly greater than 0. 5%. These conclusions provide a new perspective to understand the volatility of Chinese stock market, and also reveal a practical quantitative investment method based on the model. Finally, this paper puts forward some suggestions to improve the Chinese stock market.
【作者单位】： 复旦大学经济学院;
【基金】：复旦大学(教育部)金融创新研究生开放实验室资助项目;复旦大学研究生创新基金资助项目 上海市重点学科建设项目(B101)
【分类号】：F224;F832.51
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【共引文献】
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3 劳兰s，
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