摘要
提出了2阶马尔可夫结构转换波动模型———DDMRS-GARCH模型,DDMRS-GARCH模型引入了2阶马尔可夫链,使得波动状态转移概率不仅依赖于波动状态,同时还依赖于波动状态的持久时间.将DDMRS-GARCH模型应用于上海股票市场收益时间序列进行了实证分析.
Is this paper a second-order Markov regime switching vola tility model-DDMRS-GARCH model is provided. DDMRS-GARCH model incorporates a second-order Markov chain that allows volatility state transition probabilities to depend on both volatility states and duration of the volatility states . DDMRS-GARCH model is also applied to stock returns time series in Shanghai stock market.
出处
《系统工程学报》
CSCD
北大核心
2005年第4期367-373,共7页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70471050).
