金融市场随机波动:基于文献综述的视角  

Stochastic Volatility in Financial Markets: A Literature Review

作　　者：邱冬阳[1] 王涛[2] 许雄奇[1] 

机构地区：[1]重庆工学院经贸学院,重庆400050 [2]西南政法大学经济学院,重庆400031

出　　处：《西南农业大学学报（社会科学版）》2009年第4期4-10,共7页Journal of Southwest Agricultural University:Social Science Edition

基　　金：教育部人文社科研究项目"基于MCMC的金融市场收益波动性研究--理论方法与中国实证"(06JA790120);项目负责人:邱冬阳;重庆社科基金项目(2006-JJ37);项目负责人:邱冬阳

摘　　要：探讨了金融市场收益率存在历史、隐含和现实的三类随机波动现象,并呈现出尖峰厚尾、杠杆、集群、微笑、溢出、长记忆、信息流、共生波动等分布特征。进一步归纳了基于不同分布特征的随机波动的GARCH、SV、制度转换、阀值模型等模型,梳理出重点SV模型的三类估计方法:基于矩法、极大似然法估计和马尔科夫链蒙特卡罗(MCMC)方法,以及有效估计SV模型后,其在收益波动率预测、风险管理上的应用。Based on a literature review, this paper points out that there are three stochastic volatility phenomena of return-rate in financial markets, namely, historical, implied, realistic volatilities and that they show various distribution characteristics, such as thick tails, clustering, leverage effect, smiles, spillover, long memory, information arrivals and co-movement volatilities. The authors generalize the stochastic volatility models of GARCH, SV, Regime Switch and Threshold model, based on their different distribution characteristics, reorganize three methodologies of SV model estimation： moments, maximum likelihood and Markov Chains Monte Carlo（MCMC） estimation and apply them in forecasting of return-rate volatility and in risk management.

关 键 词：波动性 随机波动模型 综述 

分 类 号：F830.9[经济管理—金融学]