摘要
金融数据的波动往往存在着非线性的特征,为了更好地刻画上证市场股价指数的波动特征,将门限模型与CARR模型相结合,构建了门限CARR模型。首先借鉴门限自回归条件持续期模型(TACD)的建模方法,构建门限CARR模型;其次选取2002年1月4日至2012年2月15日的上证综合股价指数的日数据进行研究,通过非线性检验和门限值识别的方法找到样本序列的门限值;最后建立了拟合上证股票市场波动的非线性特征的门限CARR模型,得到上证股票市场在高、低波动下的不同波动特征。
Abstract： The volatility of financial data often has nonlinear characteristics. In order to de- scribe the volatility characteristics of Shanghai stock market, we combined the threshold model and CARR （Conditional Auto-Regressive Range） model to construct the threshold CARR model. First, we borrowed the lessons from the threshold autoregressive conditional duration model （TACD） to construct the threshold CARR model;Secondly, we used the daily data of Shanghai stock market from January 4th,2002 to February 15th,2012 as the sample and find the threshold value through the nonlinear test and threshold recognition method;At last, we established the threshold CARR model which fit the nonlinear character- istics of the volatility of Shanghai stock market and describe the different volatility charac- teristics of Shanghai stock market.
出处
《沈阳理工大学学报》
CAS
2015年第2期78-83,共6页
Journal of Shenyang Ligong University
基金
国家自然科学基金资助项目(70901055)
国家社会科学基金资助项目(14CTJ012)
教育部博士点新教师基金资助项目(20090032120031)
天津大学自主创新基金项目
关键词
非线性
门限模型
CARR模型
波动
nonlinear characteristics
threshold model
CARR model
volatility
