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在Heston-Nandi模型的基础上提出了一种波动率分解模型,分解模型同时考虑了金融波动的长记忆性和杠杆效应.从资产收益率的无条件方差发生结构突变出发,认为收益率的无条件方差随时间变化,将波动率分解为长期影响和短期冲击两部分,其中长期影响用来刻画波动率的持续性,短期冲击刻画金融波动的短期扰动.上证综指数据实证表明上海证券综合指数收益率序列的波动性同时具有长记忆性和杠杆效应,利用模型能很好的刻画这两种性质.
Based on the Heston-Nandi model, a volatility decomposition model is proposed. The decomposition model considers both the long memory and the leverage effect of financial volatility. Starting from the structural mutation of the unconditional variance of return on assets, we consider the unconditional variance of return With the change of time, the volatility is decomposed into two parts: the long-term impact and the short-term impact, of which the long-term impact is used to characterize the continuity of the volatility and the short-term impact to describe the short-term disturbance of the financial volatility. The data of Shanghai Composite Index show that the returns of the Shanghai Composite Index The volatility of the sequence has both long memory and leverage effects. The use of the model can characterize these two properties well.