具有结构变化的资产定价模型的贝叶斯自回归条件异方差检验

Bayesian Testing of ARCH for CAPM with Structural Change

在现代资产定价理论中,一个基本的假定是证券资产风险溢价满足方差齐性。然而,这样的假设未必是正确的,因此,需要对资产定价模型进行异方差的检验。本文在贝叶斯框架下考察了具有结构变化的资产定价模型,提出了检验该模型的回归条件异方差的贝叶斯检验方法。最后利用两个具体实例论证了所提方法的有效性。

In capitial asset pricing theory,it is a fundamental assumption that the extra returns of securities have constant variance.However,this assumption is not always realistic,thus it is necessary to check of this assumption.Under the Bayesian framework,the paper is devoted to constructing Bayesian test for the autoregression conditional heteroscadasicity（ARCH） of the CAPM with structural change.In the end,the effectiveness of the developed approach is illustrated with a real example.