有效矩估计在中国股票市场的应用研究

A Research on the Efficient Method of Moments and Its Application in Chinese Stock Market

对期权定价模型的一类拓展模型-随机波动率(SV)模型,由于模型中存在不可观测的随机波动因素,并且其精确似然函数很难得到,于是提出了一种基于标的资产价格历史数据的有效矩估计(EMM)方法,此方法是把观测数据映射到简化的辅助模型GARCH(1,1)上,并计算辅助模型得分用以建立矩条件,实现SV模型参数的有效估计.利用这一方法对中国股市进行了波动分析,得出了较好的结果.

Stochastic Volatility （SV） model is the kind of Price Option model. For the stochastic volatility cannot be observed and it is difficult to compute the likelihood function, we propose the efficient method of moments using historical data of underlying security price. It projects the sample data onto the simple auxiliary model which is GARCH（1,1） model. Then we use the expectation under the structural model of the score from the auxiliary model as the vector of moment conditions. It come out the efficient estimation of SV model. As a result, we can succeed in Application in Chinese Stock Market.