SVAR-GARCH模型的多元波动率估计  

Multivariate Volatility Estimation of SVAR-GARCH Model

作　　者：谢鹏飞 冶继民 王俊元 XIE Pengfei;YE Jimin;WANG Junyuan(School of Mathematics and Statistics,Xidian University,Xi’an 710126,China)

机构地区：[1]西安电子科技大学数学与统计学院

出　　处：《吉林大学学报（理学版）》2019年第6期1391-1399,共9页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:61573014)

摘　　要：考虑SVAR-GARCH模型的多元波动率,提出一种估计波动率的新方法.先利用独立成分分析技术求解因果结构和统计独立的误差项,建立残差项条件协方差阵与误差项条件协方差阵的关系,然后利用单变量GARCH模型的估计结果和识别的因果结构,估计多变量GARCH模型的条件波动的脉冲响应方法,实现多元波动率的估计,该方法可有效减少估计参数.实验结果表明,新方法估计的波动率与能源期货市场的规律相符.We considered the multivariate volatility of SVAR-GARCH model,and proposed a new method for estimating volatility.Firstly,the causal structure and error item of statistical independent were solved by independent component analysis(ICA)method,and the relationship between the conditional covariance matrix of the residual term and the conditional covariance matrix of the error term was established.Then,the impulse response of the conditional volatility of multivariable GARCH model was estimated by using the estimation results of univariate GARCH model and the causal structure of recognition,and the estimation of multivariate volatility was realized.This method could effectively reduce the estimated parameters.The experimental results show that the volatility estimated by the new method is consistent with the law of energy futures market.

关 键 词：SVAR模型 独立成分分析 因果结构 GARCH模型 波动率 

分 类 号：O212.4[理学—概率论与数理统计]