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| 摘要: |
| 分别从马尔可夫转换模型,马尔可夫混合模型及马尔可夫与ARCH类模型的联合,对变结构金融数据波动性模型进行了综述,这种变结构的波动模型克服了传统波动性模型(ARCH类)波动持续性被高估及无法实现体制!状态"间的转换的不足. |
| 关键词: 马尔可夫转换模型,混合密度,马尔可夫,GARCH模型 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Review of Regime-Switching Volatility Model of Financial Data and Its Research Progress |
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GUO Yue,WANG Na, JIANG Hong-lan
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| Abstract: |
| The regime-switching volatility models of financial data are reviewed from the combination of Markov-Switching Model,Markov Mixture Model and Markov-Switching ARCH Model,and this regime-switching volatility model… |
| Key words: Markov-Switching Model,mixture density,Markov-GARCH Model |
