混合贝塔分布随机波动模型及其贝叶斯分析  

Stochastic Volatility Model Based on Mixed Beta Distribution and Their Bayesian Analysis

作　　者：白仲林[1] 隋雯霞[1] 刘传文[2] 

机构地区：[1]天津财经大学理工学院,天津300222 [2]天津市发展和改革委员会,天津300040

出　　处：《统计与信息论坛》2013年第4期3-9,共7页Journal of Statistics and Information

基　　金：国家自然科学基金项目<具有Markov体制转换动态因子模型建模方法及其应用研究>(71271142);教育部人文社会科学研究项目<伪面板数据建模方法及其应用研究>(11YJA790003)

摘　　要：为了更准确地揭示金融资产收益率数据的真实数据生成过程,提出了基于混合贝塔分布的随机波动模型,讨论了混合贝塔分布随机波动模型的贝叶斯估计方法,并给出了一种Gibbs抽样算法。以上证A股综指简单收益率为例,分别建立了基于正态分布和混合贝塔分布的随机波动模型,研究表明,基于混合贝塔分布的随机波动模型更准确地描述了样本数据的真实数据生成过程,而正态分布的随机波动模型将高峰厚尾等现象归结为波动冲击,从而低估了收益率的平均波动水平,高估了波动的持续性和波动的冲击扰动。In order to more accurately describe the true data generating process of financial assets yield data, we first proposed a stochastic volatility model based on mixed beta distribution （SV--M）, then discussed Bayesian estimation method of the SV--M model, and gave the Gibbs sampling algorithm. Finally, taking the Shanghai A shares KLCI simple rate of return as an example, we established SV--M model and SV--N model（the stochastic volatility model based on the normal distribution）, and made a comparative analysis, the empirical analysis suggested that SV--M model more accurately described the real data generation process of the sample data; SV--N model attributed peak thick tail phenomenon to the impact of volatility, so that underestimated the average yield volatility levels, overestimated the fluctuations and the impact of fluctuations in disturbance.

关 键 词：混合贝塔分布 随机波动模型 贝叶斯分析 GIBBS抽样 

分 类 号：O212[理学—概率论与数理统计]