“一带一路”新丝路指数波动特征——基于贝叶斯MSTGASV-DEJ金融波动模型  

Volatility Characteristics of the Belt and Road New Silk Road Index——Based on Bayesian MSTGASV-DEJ Financial Volatility Model

作　　者：程美娟 陈家清[1] 王仁祥[2] Cheng Meijuan;Chen Jiaqing;Wang Renxiang(College of Science,Wuhan University of Technology,Wuhan 430070,China;College of Economics,Wuhan University of Technology,Wuhan 430070,China)

机构地区：[1]武汉理工大学理学院,武汉430070 [2]武汉理工大学经济学院,武汉430070

出　　处：《统计与决策》2023年第4期23-28,共6页Statistics & Decision

基　　金：国家自然科学基金面上项目(81671633)。

摘　　要：文章对“一带一路”新丝路指数收益率序列构建了马尔科夫区制转移门限广义非对称双指数跳跃随机波动模型,并运用MCMC方法对模型参数进行了估计,进而对新丝路指数的波动特征进行了研究。实证结果表明:新丝路指数收益率序列存在较高的聚集性、有偏性、门限效应以及杠杆效应;同时呈现显著的机制转移特性,低波动状态持续的可能性大于高波动状态,低波动状态期的持续时间较长;高波动状态下有强跳跃现象,下跳强度大于上跳强度。This paper constructs a Markov zoning transition threshold generalized asymmetric double exponential jump stochastic volatility model for the new silk road index return sequence of the Belt and Road, then uses the MCMC method to estimate the model parameters, and finally analyzes the volatility characteristics of the new silk road index. The empirical results are shown as below:The return series of the new silk road index has high aggregation, bias, threshold effect and leverage effect, and simultaneously presents significant mechanism transfer characteristics;the low volatility state is more likely to last than the high volatility state, and the low volatility state period lasts longer.There is a strong jump phenomenon in the high volatility state, and the intensity of the down jump is greater than that of the up jump.

关 键 词：新丝路指数 MSTGASV-DEJ模型 贝叶斯分析 波动率 

分 类 号：F832.5[经济管理—金融学]