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针对质押物价格收益序列存在的结构转换特征,对常系数ARCH模型进行改进,引入一个变化服从马尔科夫过程的状态随机变量反映价格收益不同的波动状况,从而构建了质押物价格收益MRS-GARCH模型.实例研究表明MRS-GARCH模型能够刻画现实中质押物价格收益波动结构动态变化过程,同时能够识别外界不可见因素对收益波动的影响力度,MRS-GARCH模型较GARCH模型在拟合及预测价格收益波动方面具有更准确的效果.
Aiming at the structural transformation feature of pledges price-earnings sequence, this paper improves the ARCH model with constant coefficient, and introduces a state random variable which changes subject to Markov process to reflect the volatility of the price-earnings, thus constructing the MRS-GARCH Model. The case study shows that the MRS-GARCH model can depict the real-time dynamic changes of the price-earnings volatility of the pledges and can identify the influence of the invisible factors on the earnings volatility. The MRS-GARCH model is better than the GARCH model in fitting and forecasting the price Gains and volatility with more accurate results.