基于信息准则的连涨连跌收益率变结构分析  

Change point analysis for successive rises and falls of returns based on Schwarz information criterion

作　　者：谭常春[1] 王韺宁 操毅文 

机构地区：[1]合肥工业大学数学学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2017年第7期989-994,共6页Journal of Hefei University of Technology：Natural Science

基　　金：国家自然科学基金青年科学基金资助项目(11201108);中央高校基本科研业务费专项资助项目(2015HGZX0018);全国统计科研计划重点资助项目(2012LZ009)

摘　　要：文章主要运用Schwarz信息准则(Schwarz information criterion,SIC)对上证综指连涨连跌收益率进行变结构分析,选用1992年5月至2015年5月近6 000个交易日的对数收益率数据,基于信息准则,检验该段时间内连涨和连跌收益率是否发生结构变化。如果发生结构变化,估计发生结构变化点的个数以及相应的变结构点位置,并探讨发生变结构的背后影响因素,并对连涨连跌收益率的不同变化情况给予解释。In this paper, the structural break points in Shanghai Stock Exchange（SSE） Composite Index successive rises and falls of returns are analyzed based on the Schwarz information criterion（SIC）. The paper chooses about 6 000 day logarithmic returns from May, 1992 to May, 2015, and tests whether all these successive rises and falls of returns change or not in this time. If there are some changes in successive rises and falls of returns, the number and the positions of change points are esti- mated. The reasons for the changes are also analyzed according to the actual market. Furthermore, the change situations are discussed to analyze the difference between the successive rises and falls of returns.

关 键 词：信息准则 连涨连跌收益率 伽马分布 变点 上证综指 

分 类 号：F830.91[经济管理—金融学]