【摘要】 首先构建了有杠杆效应的随机波动模型(SV-L),证明了其波动随机项的条件分布为两个偏正态分布,由此称该模型为偏正态随机波动模型(SV-SN).接下来讨论了SV-SN模型的经济含义以及对应随机波动项的统计特征.最后利用沪深两市的指数收益数据对模型进行了实证研究,其结论为:相对于一般的SV模型,SV-SN模型的拟合效果更好;新息具有减弱后期波动之效应;与理论预期一致,单位负新息比单位正新息引致的波动要大.更多还原

【Abstract】 First of all,a stochastic volatility model with leverage effect(SV-L for abbreviation) is constructed.The conditional distributions of its volatility item are proved to be two skew normal distributions,and this model is so called stochastic volatility model with skew normal distribution(SV-SN for abbreviation).Then the economic meaning of this model and the statistical characteristics of its volatility item are discussed.Lastly,using data from Shanghai and Shenzhen stock markets,this model is tested and the outcomes are as follows: SV-SN model fits data better by contrast with the common SV model;news can weaken the subsequential volatility;negative news can bring about stronger strike than positive news.更多还原