股票市场冲击与原油波动率指数预测——基于时变状态转移概率模型的研究  

Stock Market Shock and Crude Oil Volatility Index Forecast:Based on Time Changes Research on Probability Model of State Transition

作　　者：苏乐怡 乔高秀[1] 马学琨 蒋龚月 SU Le-yi;QIAO Gao-xiu;MA Xue-kun;JIANG Gong-yue(School of Mathematics,Southwest Jiaotong University,Chengdu 611756,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]西南交通大学数学学院,四川成都611756 [2]上海财经大学金融学院,上海200433

出　　处：《数学的实践与认识》2024年第6期11-22,共12页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71701171,72001180);教育部人文社会科学研究项目(17YJC790119);中央高校基本科研业务费学科交叉研究专项(2682021ZTPY077)。

摘　　要：采用具有时变状态转移概率的波动率模型研究原油市场波动率指数(OVX)预测,并充分考虑代表股票市场冲击的已实现波动和杠杆效应所含信息.实证结果表明,具有状态转移概率的模型对OVX的预测效果优于传统的HAR类模型.特别地,加入杠杆效应的常数状态转移概率模型对中短期的预测能力更强,而在转移概率和回归模型同时考虑杠杆效应的时变状态转移概率模型更适合长期预测.研究为我国原油衍生品市场的风险管理提供了有意义的参考。This article uses the volatility model with time-varying state transition probability to study the crude oil market volatility index(OVX)forecast,and fully considers the information contained in the realized volatility and leverage effect which represents the shock of stock market.The empirical results show that the model with state transition probability is better than the traditional HAR model in predicting OVX.In particular,the constant state transition probability model with the leverage effect has stronger predictive power in the short and medium term,while the time-varying state transition probability model that considers the leverage effect in the transition probability and regression model is more suitable for long-term prediction.The research in this article provides a meaningful reference for the risk management of our country's crude oil derivatives market.

关 键 词：原油波动率指数 股票市场冲击 时变状态转移概率模型 HAR模型 杠杆效应 

分 类 号：F831.51[经济管理—金融学] O212.1[理学—概率论与数理统计] F416.22[理学—数学]