基于分形V/S分析的电力股票长记忆性研究  

Long Memory Testing for Electric Power Stock Based on the V/S Analysis

作　　者：陈霁霞[1] 顾荣宝[1] 

机构地区：[1]南京财经大学金融学院,江苏南京210046

出　　处：《安徽电气工程职业技术学院学报》2007年第2期38-43,共6页Journal of Anhui Electrical Engineering Professional Technique College

摘　　要：利用Cajueiro等人提出的估计Hurst指数的新方法——V/S分析,研究我国电力行业最具代表力的股票——江电力股票的非线性特征。通过对该股票日收益率及其波动率序列的V/S分析,得出它们的Hurst指数均大于0.5,这表明长江电力股票价格序列是一个分形时间序列,呈现明显的长记忆性特征。The nonlinear characteristics of Yangtze River electric power stock is studied based on the new method - V/S analysis proposed by Cajueiro to estimate Hurst exponent. By the V/S analysis on daily return rate series and its volatility rate series, it is obtained that both of their Hurst exponents are bigger than 0, 5. This indicates that the series of prices of Yangtze River electric power stock is a fractal time series and presents obvious long memory.

关 键 词：V/S分析 HURST指数 长记忆性 

分 类 号：F224[经济管理—国民经济]