CAJ | 학술논문

为了捕获资产收益正向冲击（利好消息）和负向冲击（利空消息）的非对称效应，将门限效应与状态相关的杠杆效应同时引入基本的随机波动率（ SV ）模型中，提出双杠杆门限SV （THSV-DL）模型对资产收益的波动率进行建模。继而，基于有效重要性抽样（EIS）技巧，给出了THSV-DL模型的极大似然（ ML）估计方法。为了检验EIS-ML方法的精确性以及小样本性质，构建了蒙特卡罗模拟实验。模拟结果表明，EIS-ML方法是可靠和有效的。采用上证综合指数和深证成份指数的日收益数据为样本，运用THSV-DL模型对中国股市进行了实证研究。结果表明，中国股市具有很强的波动率持续性，并且存在显著的杠杆效应。更为重要的是，中国股市的波动率持续性、波动率的波动率以及杠杆效应都具有非对称性。具体而言，与利好消息相比，利空消息造成中国股市更高的波动率持续性以及更低的波动率的波动率和杠杆效应。最后，采用上证综合指数进行的实证研究表明，THSV-DL模型相比基本的SV、杠杆SV（ SV-L）、THSV和杠杆THSV（ THSV-L）模型具有更加均衡及优越的风险测度能力。
위료포획자산수익정향충격（리호소식）화부향충격（리공소식）적비대칭효응，장문한효응여상태상관적강간효응동시인입기본적수궤파동솔（ SV ）모형중，제출쌍강간문한SV （THSV-DL）모형대자산수익적파동솔진행건모。계이，기우유효중요성추양（EIS）기교，급출료THSV-DL모형적겁대사연（ ML）고계방법。위료검험EIS-ML방법적정학성이급소양본성질，구건료몽특잡라모의실험。모의결과표명，EIS-ML방법시가고화유효적。채용상증종합지수화심증성빈지수적일수익수거위양본，운용THSV-DL모형대중국고시진행료실증연구。결과표명，중국고시구유흔강적파동솔지속성，병차존재현저적강간효응。경위중요적시，중국고시적파동솔지속성、파동솔적파동솔이급강간효응도구유비대칭성。구체이언，여리호소식상비，리공소식조성중국고시경고적파동솔지속성이급경저적파동솔적파동솔화강간효응。최후，채용상증종합지수진행적실증연구표명，THSV-DL모형상비기본적SV、강간SV（ SV-L）、THSV화강간THSV（ THSV-L）모형구유경가균형급우월적풍험측도능력。
To capture the asymmetric effects of positive shocks( good news)and negative shocks( bad news) to asset returns,this paper incorporates both the threshold and state-dependent leverage effects into the basic stochastic volatility(SV)model,and proposes a threshold SV model with double leverage(THSV-DL)to model the volatility of asset returns. Based on the efficient importance sampling( EIS)technique,we use the maximum likelihood(ML)method to estimate the parameters of the THSV-DL model. Then,Monte Carlo simulations are presented to examine the accuracy and small sample properties of the proposed method. The experimental results show that the EIS-ML method performs very well. We apply the THSV-DL model to the daily returns of Shanghai stock exchange( SSE)composite index and Shenzhen stock exchange( SZSE)com-ponent index of China. Empirical results show that there exists a high persistence of volatility and a significant leverage effect in China’s stock market. More importantly,asymmetries in the volatility persistence,volatility of volatility and leverage effect are discovered in China’s stock market. Specifically,the volatility persistence tends to be higher,and both volatility of volatility and leverage effect tend to be lower following the bad news than following the good news. Finally,an empirical study on the accuracy of value at risk( VaR)estimates based on Shanghai stock exchange composite index is presented. The empirical results demonstrate that the THSV-DL model can yield more balanced and accurate VaR estimates than the basic SV,SV with leverage effect( SV-L),THSV,and THSV with leverage effect( THSV-L)models.