基于非参数模型的沪深300股指波动性研究

Empirical volatility property study of Shanghai and Shenzhen 300 stock index based on nonparametric model

研究非参数模型对沪深300指数的波动性拟合预测效果.对所研究对象建立非参数模型,选取局部线性估计法与多项式样条估计法进行模型估计,结果显示,两估计方法预测效果都较好,通过结果对比,基于多项式样条估计的非参数模型能够较好的应用到股票市场的波动性研究中且效果显著.

The nonparametric model and estimated methods were given for researching forecased effect of the Shanghai and Shenzhen 300 stock index volatility, the model was established, which was estimated by polynomial spline estimation and local linear estimation. The forecasted effect of two estimation methods is preferably, the results shown that the estimated based on polynomial splines of non-parametric model is remarkably by comparatively.