南阳师范学院学报2011，Vol.10Issue(9)：17-19,3.
中国创业板市场收益率波动性的贝叶斯分析
Bayesian analysis on stock return volatility of the growth enterprise market in China
李世纪1
作者信息
- 1. 河南财经政法大学统计学系,河南郑州450002;河南财经政法大学成功学院,河南郑州451200
- 折叠
摘要
Abstract
The volatility of the growth enterprise market in China is investigated using stochastic volatility model,and Bayesian analysis based on Gibbs sampling is introduced to improve the parameters estimation in stochastic volatility model.Empirical results on growth enterprise market indicate that the SV model with leverage effect（SV-L）outperforms the basic SV model（SV-N）in capturing the volatility of the stock market returns.关键词
随机波动模型/贝叶斯分析/Gibbs抽样/MCMCKey words
stochastic volatility model/Bayesian analysis/Gibbs sampling/MCMC分类
管理科学引用本文复制引用
李世纪..中国创业板市场收益率波动性的贝叶斯分析[J].南阳师范学院学报,2011,10(9):17-19,3.
