经济经纬
經濟經緯
경제경위
Economic Survey
2014年
3期
145~149
,共null页
股指期货 市场波动性 MCMC方法
股指期貨 市場波動性 MCMC方法
고지기화 시장파동성 MCMC방법
CSI 300 Stock Index Futures; the Volatility of Market; MCMC Method
资本市场的波动性一直是金融学研究的热点问题之一,笔者分别使用GARCH、非对称GARCH和SV模型研究中国沪深300股指期货市场的波动性特征,并利用多种准则比较分析了上述模型对于反映中国股指期货波动的适用性.研究结果表明：沪深300股指期货市场存在较大的投机性.
資本市場的波動性一直是金融學研究的熱點問題之一,筆者分彆使用GARCH、非對稱GARCH和SV模型研究中國滬深300股指期貨市場的波動性特徵,併利用多種準則比較分析瞭上述模型對于反映中國股指期貨波動的適用性.研究結果錶明：滬深300股指期貨市場存在較大的投機性.
자본시장적파동성일직시금융학연구적열점문제지일,필자분별사용GARCH、비대칭GARCH화SV모형연구중국호심300고지기화시장적파동성특정,병이용다충준칙비교분석료상술모형대우반영중국고지기화파동적괄용성.연구결과표명：호심300고지기화시장존재교대적투궤성.
The volatility of capital market has always been one of the hot topics of financial researches. This paper uses GARCH, asymmetric GARCH and SV model to study the market volatility of the CIS 300 stock index futures, and applies multi-criteria to analyze and compare the applicability of the model, which is used to describe Stock Index Futures Volatility of China. The results show that： firstly, the CIS 300 stock index futures market has a large speculative, and its rate of return exists significant heteroscedasticity and asymmetric effect; secondly, when we use the MCMC method to infer the SV model, the effect of using the method of new Shephard plus Shephard filtering process to estimate the parameters of the model is better than that of JPR method ; thirdly, from the point of view of the mean square error （ MSE）, absolute mean deviation criterion （ MAE）, the EGARCH has the best fitting results. At the same time, DM test also shows that the prediction ability of EGARCH model is the highest.
