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基于SEMIFAR模型的我国股市波动率的长记忆性研究 被引量:1

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摘要 以深圳股票市场1997年1月1日至2011年10月10日深证成分指数行情数据为样本,采用SEMIFAR模型,研究中国股票市场波动率的长记忆特性。首先,对长记忆的统计检验进行计量分析,研究发现对数日波动率序列衰减缓慢并在滞后200阶的情况下依然显著,这表明我国股票市场波动率序列具有长记忆性。紧接着,尝试使用SEMIFAR模型对日波动率序列进行建模和预测,结果发现SEMIFAR模型在对数日波动率序列长记忆建模中效果很好。
作者 吴娟 郑雪峰
出处 《中国证券期货》 2012年第12期21-22,共2页 Securities & Futures of China
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同被引文献15

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