| 上海股市波动的预测方式和模型 |
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| 引用本文： | 刘凤芹.上海股市波动的预测方式和模型[J].数学的实践与认识,2004,34(10):22-26. |
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| 作者姓名： | 刘凤芹 |
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| 作者单位： | 中国人民大学统计学院,北京,100872 |
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| 摘 要： | 探讨基于 SV类模型的上海股市波动的预测方式和模型问题 .比较了 SV( stochastic volatility)类模型 (包括基本 SV模型和 ASV模型 )在两种不同方式下的预测效果 ,并将基本 SV类模型的预测效果与 ASV模型 ,以及其他常用模型做了比较 .结果表明 :SV类模型在两种预测方式下的预测效果存在一定的差异 ;基本 SV模型对于上海股市具有较强的预测能力 ;ASV模型的预测效果不理想 .
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| 关 键 词： | ASV模型 波动 基本SV模型 预测方式 |
| 修稿时间： | 2004年7月1日 |
Forecasting Means and Model of Volatility in Shanghai Stock Market |
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| LIU Feng-qin.Forecasting Means and Model of Volatility in Shanghai Stock Market[J].Mathematics in Practice and Theory,2004,34(10):22-26. |
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| Authors: | LIU Feng-qin |
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| Abstract: | This paper discusses the forecast means and model for forecasting volatility of Shanghai stock market. The performance of SV model(including basic SV model and ASV model) under two forecast means are compared. Then author compares the performances of basic SV model, ASV model and other models. Empirical analysis indicate the performance of SV model have some difference under these two forecast means. Empirical analysis also indicate that basic SV model has good forecasting ability and ASV behaves badly. |
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| Keywords: | ASV model Basic SV model Forecast Means Volatility |
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