CAJ | 학술논문

文章采集上证50综合指数及其成分股数据进行V／S长记忆性检验，实证发现：V／S方法具有较好的稳健性，但其计算复杂度较高，不适合处理海量的数据；采用日、周或月三种采样间隔所得到数据的检验结果有显著差异。增大采样时间间隔虽然可以减少数据量、简化计算，但将导致检验结论不一致；上证50综合指数检验结果与其成分股数据检验结果之间存在明显区别，由此可见，综指与其成分股的长记忆性判断不可混为一谈。实践中应谨慎对待V／S检验结果。
문장채집상증50종합지수급기성분고수거진행V／S장기억성검험，실증발현：V／S방법구유교호적은건성，단기계산복잡도교고，불괄합처리해량적수거；채용일、주혹월삼충채양간격소득도수거적검험결과유현저차이。증대채양시간간격수연가이감소수거량、간화계산，단장도치검험결론불일치；상증50종합지수검험결과여기성분고수거검험결과지간존재명현구별，유차가견，종지여기성분고적장기억성판단불가혼위일담。실천중응근신대대V／S검험결과。
The paper did V/S Test with the data of SSE50 index and its 50 constituent stocks in Shanghai Security Exchange and also found that ： The V/S method has high complexity and time-consuming in calculation, so it may not be suitable for handling tnassive amounts of data;under different collected ways of data（ day, week and month）, the results are significantly different in the V/S test of long memory ;increasing the sampling interval can reduce the amount of data and simplify the calculation, but it will lead to an inconsis- tent conclusions of the test; the long memory test results of 50 constituent stocks of SSE50 index are not very consistent, thus, we can- not confuse the results of them. In a word, the long memory test results still should be treated seriously.