向量MRS-GARCH模型波动持续性研究  

Research on volatility persistence of vector MRS-GARCH model

作　　者：江孝感[1] 蔡宇[1] 

机构地区：[1]东南大学经济管理学院,南京210096

出　　处：《管理科学学报》2011年第8期54-64,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70471029)

摘　　要：为了描述金融变量在不同阶段的不同波动关系,在向量GARCH模型中引入Markov转换机制,构建了向量MRS-GARCH模型.运用滤波技术推导了模型的参数估计方法,基于预测公式研究了向量MRS-GARCH过程的持续性,并从状态持续时间和引入Markov链的向量GARCH过程的持续性两个方面探讨了向量MRS-GARCH模型的持续性,提出了向量MRS-GARCH过程的衰减速度指数,给出并证明了向量MRS-GARCH过程满足平稳性和协同持续性的定理.由此可分析在不同阶段内金融变量之间的特定关联属性,得出各金融变量之间关联性的"状态转移"性质,从而能够有针对性地给出相应的策略消除这种波动的持续性影响,对于防范经济或金融风险具有重要的指导意义和实践意义.最后用向量MRS-GARCH模型对沪市、深市收益率进行了实证研究,证实在考虑状态转换后两者间存在协同持续关系.In order to describe the volatility relationship in the different stages between financial variables,this paper introduces markov conversion mechanism into vector GARCH model to construct the vector MRS-GARCH model.The paper derives aparameter estimation method of this model with filtering technology,then studies the persistence of the vector process based on the prediction equation.Next this article explores the persistence of vector MRS-GARCH model from two aspects of the state duration time and the persistent of vector GARCH process with markov chain,then puts forward exponential decay rate of the vector MRS-GARCH.Afterward,the theorem that satisfied coordination of persistent of vector MRS-GARCH process is given and proved,which can analyze the specific association of financial variables at different stages,and derive the regime-swithing linkages between various financial variables.In the end,this essay uses the vector MRS-GARCH model to empirically research on Shanghai and Shenzhen stock yield rates,then confirmes that the two stock markets exizsted co-peresitence after considering state transition.

关 键 词：向量MRS-GARCH模型 MARKOV 变结构 持续性 协同持续 

分 类 号：F830.5[经济管理—金融学]