基于扩展的跳跃SV模型的全国社保基金波动研究

发布时间：2018-04-05 17:04

本文选题：跳跃随机波动模型　切入点：全国社保基金　出处：《财经理论与实践》2013年02期

【摘要】：对传统的跳跃SV模型进行扩展,提出了波动率方程中带有协变量的跳跃SV模型,给出了模型参数估计的MCMC算法,并将扩展的跳跃SV模型用于研究全国社保基金的波动特征。研究发现,相对于SV-N、SV-T、SV-M、杠杆SV-N和传统的跳跃SV-N等模型,扩展的跳跃SV模型建模效果最好;社保基金收益率具有明显的跳跃特征,并且跳跃的概率较高;基金重仓的对数ARCH项每增加1个百分点,社保重仓的对数波动率将增加0.5188个百分点。
[Abstract]:By extending the traditional jump SV model, a jump SV model with covariable in the volatility equation is proposed, and the MCMC algorithm for parameter estimation of the model is given, and the extended jump SV model is used to study the fluctuation characteristics of the national social security fund.It is found that compared with SV-NV SV-TV SV-M, leverage SV-N and traditional jump SV-N, the extended jump SV model has the best modeling effect, and the social security fund yield has obvious jumping characteristics, and the probability of jumping is higher.For every 1 percentage point increase in the logarithmic ARCH of the fund's heavy positions, the logarithmic volatility of the social security heavy positions will increase by 0.5188 percentage points.
【作者单位】：江苏大学财经学院;东南大学经管学院;
【基金】：国家自然科学基金项目(71071034) 教育部人文社会科学研究青年基金项目(12YJC630101) 江苏大学高级技术人才科研启动基金(12JDG130)
【分类号】：F224;F842.6;F832.5

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