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中国期货市场高频波动率的长记忆性
汪寿阳1; 庞淑娟1; 刘向丽2
2011
Source Publication系统工程理论与实践
ISSN1000-6788
Volume031Issue:006Pages:1039
Abstract利用GPH方法对中国期货市场收益率的高频数据进行检验,实证结果表明:期货市场高频收益率数据的波动性具有长记忆性特征.然后应用一类描述金融市场波动性过程的长记忆性特征的分整自回归条件异方差FIGARCH模型和HYGARCH模型,研究了中国期货市场高频数据波动性过程,实证结果表明长记忆的GARCH类模型在预测期货市场高频数据波动率比较合适.且相比较而言,HYGARCH模型比FIGARCH模型更加适用于期货市场.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/36489
Collection系统科学研究所
Affiliation1.中国科学院数学与系统科学研究院
2.中央财经大学
Recommended Citation
GB/T 7714
汪寿阳,庞淑娟,刘向丽. 中国期货市场高频波动率的长记忆性[J]. 系统工程理论与实践,2011,031(006):1039.
APA 汪寿阳,庞淑娟,&刘向丽.(2011).中国期货市场高频波动率的长记忆性.系统工程理论与实践,031(006),1039.
MLA 汪寿阳,et al."中国期货市场高频波动率的长记忆性".系统工程理论与实践 031.006(2011):1039.
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