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为了描述资产收益与波动率之间的非对称关系,提出一种非对称SV模型,即具有杠杆效应与尺寸效应的SV(SV-LS)模型。进一步,针对资产收益分布展现出“有偏”及“厚尾”特征,引入有偏广义误差分布(SGED)来描述资产收益,提出具有有偏厚尾的SGED假定下的SV-LS模型。继而,基于有效重要性抽样(EIS)技巧,给出了模型参数的极大似然(ML)估计方法。最后,采用上证综合指数收益数据进行实证研究。结果表明,SGED假定下的SV-LS模型表现最优,它能够综合刻画资产收益的“有偏”及“厚尾”特征,并且证明了我国沪市具有很强的波动持续性以及显著的杠杆效应。
In order to describe the asymmetric relationship between asset return and volatility, an asymmetric SV model is proposed, which is SV (SV-LS) with leverage effect and size effect. Furthermore, we present the characteristics of “partial ” and “thick tail ” according to the distribution of return on assets, introduce the generalized error distribution (SGED) to describe the return on assets and propose the SV- LS model. Then, based on the effective significance sampling (EIS) technique, the maximum likelihood (ML) estimation method of the model parameters is given. Finally, using the Shanghai Composite Index earnings data for empirical research. The results show that the SV-LS model under the SGED assumption has the best performance. It can comprehensively characterize the “biased” and “thick-tailed” asset returns, and proves that the Shanghai stock market has strong volatility sustainability As well as significant leverage effects.