| 基于MCMC的SCD模型扩展研究 |
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| 引用本文： | 王亚楠,董雅琴,吴祈宗.基于MCMC的SCD模型扩展研究[J].河北工业科技,2014,31(1):27-31. |
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| 作者姓名： | 王亚楠 董雅琴 吴祈宗 |
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| 作者单位： | 河北科技大学经济管理学院;北京理工大学管理经济学院; |
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| 基金项目： | 国家社会科学基金(13BGL136);河北科技大学博士基金(QD201306) |
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| 摘 要： | 以SCD模型为研究对象,借鉴ACD-GARCH模型的建模思路,构建了价格交易持续期、超高频收益率的双因素模型SCD-GARCH模型。考虑到模型双随机变量给模型参数估计带来的困难,运用MCMC方法,对中国股票市场超高频数据进行实证分析,结果表明模型显著。运用DIC准则比较这2类模型,结果显示SCD-GARCH模型总体更优。
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| 关 键 词： | MCMC 交易持续期 ACD-GARCH模型 SCD模型 DIC |
| 收稿时间： | 2013/8/2 0:00:00 |
| 修稿时间： | 2013/9/8 0:00:00 |
Study on extended SCD model based on MCMC |
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| WANG Yanan,DONG Yaqin and WU Qizong.Study on extended SCD model based on MCMC[J].Hebei Journal of Industrial Science & Technology,2014,31(1):27-31. |
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| Authors: | WANG Yanan DONG Yaqin and WU Qizong |
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| Abstract: | SCD model is studied and SCD-GARCH model is made based on ACD-GARCH model.The model is analyzed empirically by use of domestic stock markets ultra-high frequency data based on MCMC.The results indicate that the SCD-GARCH model is better in performance under DIC. |
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| Keywords: | MCMC trading duration ACD-GARCH model SCD model DIC |
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