| 随机波动率模型分析与应用 |
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| 引用本文： | 陈杨林,夏正喜.随机波动率模型分析与应用[J].九江职业技术学院学报,2010(4):78-80. |
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| 作者姓名： | 陈杨林 夏正喜 |
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| 作者单位： | 九江职业技术学院信息工程系,江西九江332007 |
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| 摘 要： | 本文首先分析了金融时间序列中常用的随机波动率模型结构,介绍了马尔可夫链蒙特卡洛MCMC方法并采用基于MCMC模拟的贝叶斯分析对随机波动率模型的参数进行估计了,其次应用该模型对世界黄金价格指数时间序列的走势与波动进行分析,实证结果表明SV模型能较好的拟合金价走势并作出预测。
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| 关 键 词： | 随机波动率模型 MCMC方法 |
Analysis and Application of Stochastic Volatility Mode |
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| CHEN Yang-lin,XIA Zheng-xi.Analysis and Application of Stochastic Volatility Mode[J].Journal of Jiujiang Vocational and Techinical College,2010(4):78-80. |
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| Authors: | CHEN Yang-lin XIA Zheng-xi |
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| Institution: | (Department of Information Engineering,Jiujiang Vocational andTechnical College,Jiujiang,Jiangxi Province,332007) |
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| Abstract: | This article first analyses staple stochastic volatility model in economic temporal series,and introduces Markov Chain Monte Carlo（MCMC） method to do estimation on parametres of stochastic volatility model utilizing Bayesian Analysis based on MCMC simulation,then use this model to do analysis on trend and fluctuation of temporal series of the world gold price index.Evidence shows that SV model can match well with gold price and give out appropriate prediction afterwards. |
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| Keywords: | stochastic volatility model MCMC method |
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