SV-N与SV-M模型测量股市波动性的应用  

The Measurement to the Volatility of Stock Market by Using SV-N and SV-M Models

作　　者：陆庆松[1] 杨辉耀[2] 

机构地区：[1]广东肇庆学院数学与信息科学学院,广东肇庆526061 [2]广州大学,广东广州510006

出　　处：《区域金融研究》2009年第5期55-57,共3页Journal of Regional Financial Research

摘　　要：与传统的GARCH类模型一样,SV模型(随机波动模型)是用来捕捉股市波动特征的一个较好的模型,该模型在国外得到广泛的应用。实证研究表明:利用SV模型的两个子类,即基于正态分布下的SV模型(SV-N)和均值SV模型(SV-M)来测量我国沪深股市波动性明显优于GARCH类模型,能够更好地描述其统计特征。This paper mainly studies the measurement to the volatility of stock market. As well as GARCH model, SV model can capture the characteristic of volatility of stock market accurately, and SV model has been widely used. Empirical study shows, using SV model ,SV-Normal and SV-Mean models to measure the volatility of Chinese stock market is superior to GARCH models.

关 键 词：SV模型 SV—N模型 SV—M模型 

分 类 号：F830.91[经济管理—金融学]