非对称随机波动模型的参数估计及其实证

Parameter Estimation and Empirical Analysis of Asymmetric Stochastic Volatility Model

研究非对称随机波动模型参数的贝叶斯估计问题,提出一种计算参数贝叶斯估计量的MCMC (Markov Chain Monte Carlo)算法。并利用此算法对中国股市波动的非对称现象进行了实证分析。

The paper discusses the Bayesian parameter estimation of asymmetric stochastic volatility model. A markov chain monte carlo algorithm is proposed, by which the Bayesian estimator of model parameters can be well computed. Then the asymmetry in Chinese stock market is analysed by this new algorithm.