摘要
利用随机波动模型(SV模型)可以刻画金融数据波动性的功能,文章以2009年以来上海黄金交易市场的收益率数据为代表,通过五类SV模型进行模拟分析并以此判断我国黄金现货及黄金期货市场的实际情况,比较结果认为国内两类黄金市场波动持续性强且具有尖峰厚尾性,其中Leverage-SV模型可以更好地刻画出两种黄金市场收益波动的杠杆效应特征,且拟合效果相对较优。
With the function of stochastic volatility model(SV model)that describes the volatility of financial data,and using Shanghai gold trading market's investment return data as the representative of gold market of China,this article analyzes the situation of domestic gold spot market and gold futures market by five SV models.The results show that two types of gold market have strong volatility persistence and characteristic of fat tailed and excess kurtosis,while Leverage-SV model can well draw two kinds of leverage effect of the gold market's volatility with fittest results.
出处
《长沙理工大学学报(社会科学版)》
2015年第2期100-104,共5页
Journal of Changsha University of Science and Technology:Social Science