长记忆SV模型的统计性质及其实证分析

On the Statistical Properties and Empirical Analysis of Long Memory Stochastic Volatility Model

给出与证明长记忆随机 (LMSV)模型的矩与谱密度 ,波动替代量的长记忆性 ,与 ARFIMA模型的关系 ,以及其时间聚合等统计性质 ;

This paper provides and proves the statistic properties of long memory stochastic volatility(LMSV) model such as moments and spectrum density, the volatility proxies, the relationship with ARFIMA model, and time aggregation. Finally, we research the memory of Shanghai stock market.