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尝试使用Takahashietal.在2009年提出的RASV模型[1],对沪深300指数的波动率进行建模分析。在确定模型参数时,使用贝叶斯统计推断,并创新性地使用结合了Gibbs抽样思想的HMC算法来模拟生成参数样本。使用的数据是2016年全年的沪深300指数一分钟高频数据,并对得到的模型参数进行了经济学意义分析。
Attempt to use Takahashietal’s proposed RASV model [1] in 2009 to model the volatility of the CSI 300 Index. Bayesian statistical inference is used in determining model parameters and innovative generation of parameter samples is simulated using the HMC algorithm incorporating the idea of Gibbs sampling. The data used is the one-minute high-frequency data of the CSI 300 Index for the whole year of 2016, and the economic analysis of the obtained model parameters is carried out.