基于SV模型的上海股市波动性实证分析

The Empirical Research of the Shanghai Stock Market Volatility Based on SV Model

利用标准SV(SV-N)模型、厚尾SV(SV-T)模型对上证综合指数数据进行实证分析,采用MCMC方法及Gibbs抽样,应用WinBUGS软件对参数进行估计,比较参数估计值及DIC值,研究表明上证指数表现出强的波动持续性,SV模型能够很好地刻画出它的波动特征,且SV-T模型较优。

Standard SV （SV-N） and fat tails SV （SV-T） models are used in studying Shanghai composite index. Parameter estimation is achieved by Monte Carlo simulation （MCMC） methods on WinBUGS software. From the comparion of SV-N model and SV-T model on simulation results, effects and DIC criteria, they can draw the volatility well and SV-T model is superior to SV-N model.