SV模型的模拟GMM方法——兼论涨跌停板制度的有效性  

The Simulated Generalized Method of Moment of the SV Model——The Efficiency of the Price Limits Policies

作　　者：李传乐[1] 王美今[1] 

机构地区：[1]中山大学岭南学院

出　　处：《中山大学学报（自然科学版）》2006年第6期11-15,共5页Acta Scientiarum Naturalium Universitatis Sunyatseni

基　　金：国家自然科学基金资助项目(70273060)

摘　　要：采用SV模型的一个简捷高效的估计方法———模拟广义矩估计方法,以上证综合指数为样本,考查了涨跌停板制度对沪市股票收益波动的影响,并将SV模型的实证结果与GARCH模型进行了比较,发现SV模型的估计更符合实际;最后,利用Monte Carlo方法对股票收益序列进行了模拟和分析,进一步证实了这一结论。The simulated GMM adopted in this paper is forthright and efficient. Selecting the Shanghai composite index as sample, the effect of the price limits policies on the volatility of the stock revenue is examined, and the SV model is found to be more conform to the actual situation by comparing the empirical results between the SV model and the （G） ARCH model. Finally, these conclusions are further verified by using the Monte Carlo method to simulate and analyze the stock revenue series.

关 键 词：随机波动模型 模拟广义矩估计方法 涨跌停板制度 MONTE CARLO模拟 

分 类 号：O213.9[理学—概率论与数理统计] F83[理学—数学]