基于MCUSQAR变结构检验的模拟与实证分析

Simulation and empirical analysis based on MCUSQAR variable structure test

针对文献提出的中心化累积平方和自回归(MCUSQAR)变结构检验方法,利用计算机模拟方法对检验的效果进行了统计分析.结果表明,该方法对均值方差同时变结构时间序列具有比较好的检验效果.同时,我们利用该方法对中国股票市场的日收益率进行变结构检验,发现中国股票市场收益存在明显的变结构现象,并与当时金融市场变化密切相关.

A method for testing central accumulated square and auto regressive （MCUSQAR） variable structure is proposed here with adaptation from the literature, statistical analysis of test effect is carried out using computer simulation. The method is found to have good effect on mean variance variable structure time series. This is used to test daily return rate in the Chinese stock market, which is found to have significant change in variable structural phenomenon and relate closely to changes in the financial market at the time.