中国管理科学 ›› 2022, Vol. 30 ›› Issue (1): 77-87.doi: 10.16381/j.cnki.issn1003-207x.2019.1105
鲁万波, 亢晶浩
收稿日期:
2019-07-28
修回日期:
2020-03-04
出版日期:
2022-01-20
发布日期:
2022-01-29
通讯作者:
鲁万波(1977-),男(汉),贵州贵阳人,西南财经大学统计学院,教授、博士生导师,研究方向:金融计量、风险管理,Email:luwb@swufe.edu.cn.
E-mail:luwb@swufe.edu.cn
基金资助:
LU Wan-bo, KANG Jing-hao
Received:
2019-07-28
Revised:
2020-03-04
Online:
2022-01-20
Published:
2022-01-29
Contact:
鲁万波
E-mail:luwb@swufe.edu.cn
摘要: 假定日收益率服从多元有偏学生t分布、已实现协方差矩阵服从矩阵F分布,本文构建了一种新的得分驱动模型:GAS-SKST-F模型。在该有偏厚尾多元波动率模型中,我们基于广义自回归得分(GAS)模型的基本思想对收益率和已实现协方差矩阵进行联合动态设定,协方差矩阵的更新过程依赖于收益率分布和已实现协方差矩阵分布联合似然函数的得分函数。已实现协方差测度在协方差矩阵的更新过程中发挥了重要的作用。基于20支上证50成分股高频数据的实证分析研究结果显示,与GAS-N-Wishart模型和GAS-tF模型相比,无论样本内还是样本外,GAS-SKST-F模型有着更加良好的样本内估计和样本外预测能力。
中图分类号:
鲁万波, 亢晶浩. GAS-SKST-F模型及其在高频多元波动率预测中的应用[J]. 中国管理科学, 2022, 30(1): 77-87.
LU Wan-bo, KANG Jing-hao. GAS-SKST-F Model and Its Application in High Frequency Multivariate Volatility Forecast[J]. Chinese Journal of Management Science, 2022, 30(1): 77-87.
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