【摘 要】
：
基于门槛效应视角,结合MAT-HAR模型能够捕捉门槛效应的特点与Realized GARCH模型在高频波动率预测的优势,文章建立了Realized MAT-HAR GARCH模型,旨在研究高频金融市场的门槛效应.与Realized HAR GARCH模型不同的是,该模型在波动方程中引入MAT-HAR结构,将已实现波动率序列的移动平均项作为门槛,并基于AIC信息准则选取最优的波动方程结构.数值模拟结果显示,Realized MAT-HAR GARCH模型有着较好的参数估计和波动预测效果.基于沪深300指数的
【机 构】
：
浙江工商大学统计与数学学院,杭州310018
论文部分内容阅读
基于门槛效应视角,结合MAT-HAR模型能够捕捉门槛效应的特点与Realized GARCH模型在高频波动率预测的优势,文章建立了Realized MAT-HAR GARCH模型,旨在研究高频金融市场的门槛效应.与Realized HAR GARCH模型不同的是,该模型在波动方程中引入MAT-HAR结构,将已实现波动率序列的移动平均项作为门槛,并基于AIC信息准则选取最优的波动方程结构.数值模拟结果显示,Realized MAT-HAR GARCH模型有着较好的参数估计和波动预测效果.基于沪深300指数的实证研究表明,在残差服从正态分布的假设下,沪深300指数的周和月波动信息存在显著的门槛效应,且基于AIC准则的Realized MAT-HAR GARCH模型比Realized HAR GARCH模型有着更好的样本内拟合、波动预测和VaR度量效果.最后,在不同误差分布假设下,研究该模型基于AIC信息准则选取模型结构的合理性和波动预测的稳健性.基于MCS检验的稳健性检验结果表明,在不同厚尾分布的假设下,Realized MAT-HAR GARCH模型的样本外表现效果均优于Realized HAR GARCH模型,其效果不依赖于滚动预测窗口长度的选取.
其他文献
研究了半马氏切换拓扑下随机非线性多智能体系统的日∞包含控制问题.通过设计一个控制协议使得所有跟随者的状态最终到达了领导者状态形成的凸包内,并证明该协议对随机噪声、外部干扰和半马氏切换拓扑等因素具有良好的鲁棒性.利用李雅普诺夫函数方法给出了实现H∞包含控制的充分条件.最终通过仿真算例验证了结果的正确性.
Emerging evidence suggests that children conceived through assisted reproductive technology(ART)have a higher risk of congenital heart defects(CHDs)even when there is no family history.De novo mutation(DNM)is a well-known cause of sporadic congenital dise
This paper examines in detail the impact of the crowdsourcee\'s vertical fairness concern on the knowledge sharing incentive mechanism in crowdsourcing communities.The conditions for the establishment of the incentive mechanism are analyzed and the impa
The complexity of business and information systems(IS)alignment is a growing concern for researchers and practitioners alike.The extant research on alignment architecture fails to consider the human viewpoint,which makes it difficult to embrace emergent c
In this paper, a linear/nonlinear switching active dis-turbance rejection control (SADRC) based decoupling control approach is proposed to deal with some difficult control prob-lems in a class of multi-input multi-output (MIMO) systems such as multi-varia
Fiber optical gyroscope(FOG)is a highly reliable navigation element,and the degradation trajectories of its two accuracy indexes are monotonic and non-monotonic respectively.In this paper,a flexible accelerated degradation testing(ADT)model is used for an
该工作主要讨论在一二维矩形区域内的热-板耦合系统解的长时间行为.该模型由两部分组成:其中一部分为热方程描述,另一部分为欧拉-伯努利板方程描述.两者在公共边界处通过一定的传输条件耦合连接在一起.基于频域分析方法,结合正交分解以及频域乘子构造等技巧,得到了在光滑初始条件下该系统能量的多项式衰减速率估计.
针对多旋翼无人机的在线航迹规划问题,提出了一种基于无障碍凸区域的方法(IRIS-Astar).该方法引入了基于概率路标图(probabilistic roadmap,PRM)的A*算法,用于离线规划全局路径.在无人机在线航迹规划阶段,通过IRIS算法(interative regional inflation by semidefinite programming)计算出当前航迹点的极大凸区域,找出该区域中距离当前航迹点最远的全局路径点作为局部目标点.无人机在向局部目标点行进的过程中,实时计算当前位置的极
In recent years,with the continuous development of multi-agent technology represented by unmanned aerial vehicle(UAV)swarm,consensus control has become a hot spot in academic research.In this paper,we put forward a discrete-time consensus protocol and obt