随机波动模型的持续性和协同持续性研究

Research on volatility persistence and co-persistence in stochastic volatility model

波动持续性是广泛存在于经济和金融时间序列的一类普遍现象 ,它反映了经济和金融的风险相关性 .在介绍随机波动模型有关概念和性质的基础上 ,从单整的角度讨论了随机波动模型存在的持续性 ,并以此为基础 ,讨论向量随机波动模型存在的持续性和协同持续性 ,给出了随机波动模型的协同持续定理 .此外 ,文中进一步讨论了协同持续存在的条件和有关性质 。

Volatility persistence, which have been found in many of time series of economic and finance, indicates that the risk is dependent each other.Based on the conception and properties of stochastic volatility (SV) model,discuss the persistence in SV model from the point view of the integration. Moreover, the persistence and co persistence in vector stochastic volatility model is investigated and the co persistence theorem is presented. In this paper, further consider the properties and conditions of co persistence relationship and give the error correction model of co persistence.