| 有效矩估计在中国股票市场的应用研究 |
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| 引用本文： | 王建稳,陈真狮,王晓丽.有效矩估计在中国股票市场的应用研究[J].数学的实践与认识,2007,37(19):53-57. |
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| 作者姓名： | 王建稳 陈真狮 王晓丽 |
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| 作者单位： | 北方工业大学,理学院,北京,100041 |
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| 基金项目： | 北京市跨世纪优秀人才培养计划;北京市教委科技发展计划项目 |
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| 摘 要： | 对期权定价模型的一类拓展模型-随机波动率(SV)模型,由于模型中存在不可观测的随机波动因素,并且其精确似然函数很难得到,于是提出了一种基于标的资产价格历史数据的有效矩估计(EMM)方法,此方法是把观测数据映射到简化的辅助模型GARCH(1,1)上,并计算辅助模型得分用以建立矩条件,实现SV模型参数的有效估计.利用这一方法对中国股市进行了波动分析,得出了较好的结果.
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| 关 键 词： | SV模型 有效矩估计 极大似然估计 GARCH(1 1)模型 |
| 修稿时间： | 2007年6月1日 |
A Research on the Efficient Method of Moments and Its Application in Chinese Stock Market |
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| WANG Jian-wen,CHEN Zhen-shi,WANG Xiao-li.A Research on the Efficient Method of Moments and Its Application in Chinese Stock Market[J].Mathematics in Practice and Theory,2007,37(19):53-57. |
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| Authors: | WANG Jian-wen CHEN Zhen-shi WANG Xiao-li |
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| Abstract: | Stochastic Volatility(SV) model is the kind of Price Option model.For the stochastic volatility cannot be observed and it is difficult to compute the likelihood function,we propose the efficient method of moments using historical data of underlying security price.It projects the sample data onto the simple auxiliary model which is GARCH(1,1) model.Then we use the expectation under the structural model of the score from the auxiliary model as the vector of moment conditions.It come out the efficient estimation of SV model.As a result,we can succeed in Application in Chinese Stock Market. |
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| Keywords: | SV model the efficient method of moments maximum likelihood estimation GARCH(1 1) model |
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