摘要
引入结构突变,对上证综指马尔可夫转换-ARCH模型通过马尔可夫蒙特卡罗方法(MCMC方法)进行估计。在30000次参数模拟之后,本文得到稳健、可靠的结果,似然比检验显示本文模型好于几乎所有GARCH族模型。本文结论:(1)相对于世界主要股市,中国股市各波动状态的持续时间短、波动幅度大;(2)不像其他股市,中国股市的波动不能反应国内外的政治经济状况的变化;(3)中国股市中等波动状态的收益率显著大于0。这些结论提供了一个认识中国股市波动性的全新视角,还揭示了一种基于模型的实用数量投资方法,最后本文提出了完善中国股市的相关建议。
With consideration on structure breaks,we introduce the MCMC estimation method for MS-ARCH model in SSE Composite Index.After 30000 simulations,we get robust and reliable parameter estimates.LR tests show that our model outperforms most of the GARCH models.The results show that the duration of volatility regime is shorter,and magnitude greater in SSE Composite Index comparing other major stock markets in the world.What＇s more,unlike other stock index,SSEI can not reflect the economic and political environment of China.Also we find that the volatility of SSE Composite Index is related to the Bull and Bear markets,which implies one practical quantitative investment strategy.At last,we provide one suggestion to improve the efficiency of Shanghai Stock Market by encouraging the research on quantitative investment strategy.
出处
《系统工程》
CSSCI
CSCD
北大核心
2010年第4期9-14,共6页
Systems Engineering
基金
复旦大学(教育部)金融创新研究生开放实验室资助项目
复旦大学研究生创新基金资助项目
上海市重点学科建设项目(B101)
