基于小波变换的长记忆随机波动模型估计方法研究

Abstract

Abstract: Wavelet is introduced to the estimation of the Long Memory Stochastic Volatility(LMSV)model,and the wavelet transformation based estimation method of parameters and volatility process is proposed on the bases of the wavelet analysis results of ARFIMA process.The method suggested is proved to be effective and feasible by the simulation experiments with different parameters value and different series length as well as the estimation of LMSV model of the return series of aggregate index of Shanghai and Shenzhen stock markets.

Key words: wavelet transformation, LMSV model, ARFIMA process, estimation

CLC Number:

F224

XU Mei, ZHANG Shi-ying. Study on the Wavelet Transformation Based Estimation Method of LMSV Model[J]. Chinese Journal of Management Science, 2006, (1): 7-14.

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Study on the Wavelet Transformation Based Estimation Method of LMSV Model

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