| SV—N与SV—M模型测量股市波动性的应用 |
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| 引用本文： | 陆庆松,杨辉耀.SV—N与SV—M模型测量股市波动性的应用[J].广西金融研究,2009(5):55-57. |
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| 作者姓名： | 陆庆松 杨辉耀 |
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| 作者单位： | 广东肇庆学院数学与信息科学学院,广东,肇庆,526061;广州大学,广东,广州,510006 |
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| 摘 要： | 与传统的GARCH类模型一样,SV模犁(随机波动模型)是用来捕捉股市波动特征的一个较好的模型,该模型在国外得到广泛的应用.实证研究表明:利用SV模型的两个子类,即基于正态分布下的SV模型(SV-N)和均值SV模型(SV-M)来测量我国沪深股市波动性明显优于GARCH类模型,能够更好地描述其统计特征.
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| 关 键 词： | SV模型 SV-N模型 SV-M模型 |
The Measurement to the Volatility of Stock Market by Using SV-N and SV-M Models |
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| Lu Qingsong,Yang Huiyao.The Measurement to the Volatility of Stock Market by Using SV-N and SV-M Models[J].JOurnal of Guangxi Financial Research,2009(5):55-57. |
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| Authors: | Lu Qingsong Yang Huiyao |
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| Institution: | Zhaoqing University;Zhaoqing Guangdong 526061;Guangzhou University;Guangzhou Guangdong 510006 |
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| Abstract: | This paper mainly studies the measurement to the volatility of stock market.As well as GARCH model,SV model can capture the characteristic of volatility of stock market accurately,and SV model has been widely used.Empirical study shows,using SV model,SV-Normal and SV-Mean models to measure the volatility of Chinese stock market is superior to GARCH models. |
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| Keywords: | SV Model SV-Normal Model SV-Mean Model |
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