随机波动率模型分析与应用  

Analysis and Application of Stochastic Volatility Mode

作　　者：陈杨林[1] 夏正喜[1] 

机构地区：[1]九江职业技术学院信息工程系,江西九江332007

出　　处：《九江职业技术学院学报》2010年第4期78-80,共3页Journal of Jiujiang Vocational and Technical College

摘　　要：本文首先分析了金融时间序列中常用的随机波动率模型结构,介绍了马尔可夫链蒙特卡洛MCMC方法并采用基于MCMC模拟的贝叶斯分析对随机波动率模型的参数进行估计了,其次应用该模型对世界黄金价格指数时间序列的走势与波动进行分析,实证结果表明SV模型能较好的拟合金价走势并作出预测。This article first analyses staple stochastic volatility model in economic temporal series,and introduces Markov Chain Monte Carlo（MCMC） method to do estimation on parametres of stochastic volatility model utilizing Bayesian Analysis based on MCMC simulation,then use this model to do analysis on trend and fluctuation of temporal series of the world gold price index.Evidence shows that SV model can match well with gold price and give out appropriate prediction afterwards.

关 键 词：随机波动率模型 MCMC方法 

分 类 号：O141.4[理学—数学]