摘要
金融市场的风险和波动性一直是现代金融学研究的主题。金融风险具有时变性,金融波动具有持续性。介绍了刻画波动特性的随机波动模型及其估计方法。为了帮助投资者和政府监管机构理解沪深股市的风险特性,利用随机波动模型对上海股市和深圳股市的波动特性进行建模和比较分析,结果发现,上海股市比深圳股市的风险高,波动的持续性低;分析了产生这种现象的原因,并提出了若干建议。
Financial market risk and volatility is a main issue for modern finance research. The characteristics of financial risk is time varying and volatility is persistent. The paper introduces stochastic volatility (SV) model and its estimation method. In order to help investors and government understand risk characteristics of Shanghai and Shenzhen Stock Markets, the paper comparatively studies them with SV model, and finds that Shanghai Market is of higher risk , but less persistency. This paper analyzes the causes of these and offers some proposals for investors, government and researchers.
出处
《天津大学学报（社会科学版）》
2004年第4期334-338,共5页
Journal of Tianjin University：Social Sciences
关键词
金融风险
波动性
随机波动模型
持续性
financial risk
volatility
stochastic volatility model
persistence
