【摘要】 协同持续是协整概念在时间序列二阶矩意义上的体现,主要讨论条件方差过程之间的长期均衡关系。基于脉冲响应分析给出分数维波动持续和协同持续的定义,并研究了一类范围更广的模型族——FIGARCH过程的持续性问题。最后,运用双变量FIGARCH模型对我国两大证券市场的波动持续性进行检验,实证表明其波动行为存在分数维协同持续现象,这为动态金融风险规避策略的构建提供了理论依据。更多还原

【Abstract】 Common persistence, which discusses long-run equilibrium relationship in conditional variance process, can be viewed as cointegration embodied in two order moments. Based on impulse response analysis, the paper gives definition of volatility persistence and common persistence in fractional dimension, and investigates the persistence of FIGARCH process. Finally, bivariate FIGARCH model is used to test persistence in Chinese stock markets. The results show that there exists fractional common persistence, which provide theoretical basis for avoiding dynamic financial risk.更多还原