半参数门限广义非对称随机波动模型研究

Research on Semiparametric Threshold Generalized Asymmetric Stochastic Volatility Model

为了能够同时刻画和描述金融资产收益序列的偏态、厚尾以及序列的门限效应、非对称杠杆效应等特性,提出把门限广义非对称随机波动模型与非参数Dirichlet过程混合模型有机结合,构建了半参数门限广义非对称随机波动模型,并对模型进行了贝叶斯分析.实证研究中,利用上海黄金价格收益率序列数据进行建模分析,结果表明:半参数门限广义非对称随机波动模型能够有效地刻画上海黄金价格收益率序列波动率的动态特征.

In order to be able to characterize and describe the skewness,thick tail,and the threshold effect and asymmetric leverage effect of the sequence of financial asset returns simultaneously,this paper proposes to combine the threshold generalized asymmetric stochastic volatility model and the nonparametric Dirichlet process hybrid model to construct a semiparametric threshold generalized asymmetric stochastic volatility model,and Bayesian analysis is used to analyze the model.In the empirical study,the Shanghai gold price return sequence data was used for modeling analysis.The empirical analysis result shows that the semiparametric threshold generalized asymmetric stochastic volatility model can effectively characterize the volatility of Shanghai gold price and return series.