金融波动持续性的研究

Research on the Persistence of Financial Volatility

本文首先介绍了金融市场中单个变量波动持续性的含义 ,包括一阶意义上的的长记忆性以及二阶意义上的方差持续性 ,概述了已有的模型 ,运用分形市场理论阐明了波动持续性的经济涵义和市场机制。然后 ,指出了多个变量波动之间协同关系的研究方法 :分数维协整和方差协同持续 ,并介绍了各自的建模方法。最后 ,研究了文献中尚属空白的VaR的波动持续性问题 ,提出了FITSGARCH模型并进行了VaR波动持续性的讨论。

The paper first introduces the meaning of volatility of single variable in financial market, which includes the long memory in mean and persistence in variance, and summarizes the existing models. We use fractal market theory to illustrate the market mechanism of volatility persistence. Then we go on with the correlation between multi-variable: fractional co-integration and co-persistence in variance, and discuss their modeling method. In the end, the paper studies the persistence of VaR volatility, which is still vacant in literature, and present the FITSGARCH model to analyze the persistence of VaR volatility.