基于MODWT的FIGARCH模型波动的持续性与相关性  

Continuity and Correlation of the Fluctuation of FIGARCH Model Based on MODWT

作　　者：王萍[1] 刘丹红[1] 臧玉卫[2] 孙晓宇[3] 

机构地区：[1]天津大学理学院,天津300072 [2]天津大学北洋科技开发有限公司,天津300072 [3]南开大学经济学院,天津300072

出　　处：《天津大学学报（社会科学版）》2009年第4期302-306,共5页Journal of Tianjin University：Social Sciences

摘　　要：基于FIGARCH模型与最大重复离散小波变换的小波多分辨分析,提出了不同尺度下的FIGARCH模型,并以此来讨论金融波动序列在不同尺度下的持续性问题;利用可描述两列波动序列的整体相关特性的交叉互相关函数,提出了可以描述两列波动序列在不同尺度、不同滞后期下小波交叉互相关函数的定义,并进行了实证分析。First, FIGARCH model under different scales was proposed based on wavelet multi-resolution analysis of （ maximal overlap discrete wavelet transform, MODWT ）, with which the continuity problem of financial fluctuation series under different scales was discassea. Fur thermore the definition of wavelet cross-correlation function was, put forword, which can describe two fluctuation series under different scales and different laggings, by using cross-correlation function that can describe the whole correlation characters of two fluctuation series. At last empirical analysis was made.

关 键 词：FIGARCH模型 持续性 最大重复离散小波变换 小波交叉互相关 

分 类 号：F224.0[经济管理—国民经济]