金融数据变结构波动性模型的综述及研究进展  

Review of Regime-Switching Volatility Model of Financial Data and Its Research Progress

作　　者：郭悦[1] 王娜[2] 蒋宏兰[1] 

机构地区：[1]重庆大学数学与统计学院,重庆400044 [2]成都理工大学管理科学学院,成都610059

出　　处：《重庆工商大学学报（自然科学版）》2011年第6期594-597,613,共5页Journal of Chongqing Technology and Business University:Natural Science Edition

摘　　要：分别从马尔可夫转换模型、马尔可夫混合模型及马尔可夫与ARCH类模型的联合,对变结构金融数据波动性模型进行了综述;这种变结构的波动模型克服了传统波动性模型(ARCH类)波动持续性被高估及无法实现体制(状态)间的转换的不足。The regime-switching volatility models of financial data are reviewed from the combination of Markov-Switching Model, Markov Mixture Model and Markov-Switehing ARCH Model, and this regime-switching volatility model overcomes the shortcomings of those conventional models including ARCH family, in which volatility persistence is overestimated and regime switching can not be realized.

关 键 词：马尔可夫转换模型 混合密度 马尔可夫GARCH模型 

分 类 号：TP391[自动化与计算机技术—计算机应用技术]