疫情影响下贵金属市场的波动性——基于厚尾SV模型的实证研究  

Volatility of Precious Metal Market Under the Impact of Epidemic:An Empirical Study Based on the Thick Tail SV Model

作　　者：高博文 乔克林[1] GAO Bowen;QIAO Kelin(College of Mathematics and Computer Science,Yan’an University,Yan’an 716000,Shaanxi China)

机构地区：[1]延安大学数学与计算机科学学院,陕西延安716000

出　　处：《河南科学》2022年第7期1040-1049,共10页Henan Science

基　　金：陕西省自然科学基础研究计划项目(2022JQ-741)。

摘　　要：由于波动现象普遍产生在金融时间序列当中,所以随机波动率模型在实际运用中也获得了广泛的应用.本文研究了SV模型族中的厚尾SV模型的参数估计方法,并通过基于厚尾SV模型的贝叶斯参数估计方法研究疫情前和疫情期我国贵金属市场的收益波动.研究结果显示,厚尾SV模型对疫情前和疫情期我国贵金属收益波动性具有较好的拟合效果.Since the phenomenon of volatility is generally generated in the financial time series,the stochastic volatility model has also been widely used in practical application. In this paper,the parameter estimation method of the thick-tailed SV model in the SV model family is studied,and the yield fluctuation of China’s precious metal market before and during the epidemic period is studied by the Bayesian parameter estimation method based on the thick-tailed SV model. The results of the study show that the thick-tailed SV model has a good fitting effect on the volatility of precious metal yields in China before and during the epidemic period.

关 键 词：随机波动率 厚尾SV模型 贝叶斯参数估计 贵金属 波动性 

分 类 号：O29[理学—应用数学]