【摘要】 针对连续几何均值回复模型,通过时间离散化导出对应的随机差分方程,得到了一个非线性回归模型,利用贝叶斯推断得到各个参数的估计及后验分布.蒙特卡洛模拟的试验结果证实了方法的有效性.以日元对人民币双边名义日汇率的单步向前预测为例,分别与ARMA-GARCH模型、非线性ARI模型的预测效果进行比较,结果表明:几何均值回复模型预测效果略好于非线性ARI模型,显著优于ARMA-GARCH模型.更多还原

【Abstract】 By means of the time-discretization approach,a stochastic difference equation from the geometric mean-reversion process was derived,and then a nonlinear regression model was established.In this way,the distribution and estimation for each parameter were obtained with Bayesian inference.Monte Carlo simulation results proved the effectiveness of this model.Lastly,the one-step forward forecasting was performed for the daily data of YEN/RMB by means of three models:ARMA-GARCH model,nonlinear ARI model and geometric mean-reversion model.The results have shown that the geometric mean-reversion model is a bit better than the nonlinear ARI model but much better than the ARMA-GARCH model.更多还原