DocumentCode
235052
Title
Research and Application of a Stochastic Volatility Model with T-distribution Leveraged
Author
Jianhui Yang ; Jie Wu
Author_Institution
Sch. Of Bus. Adm., South China Univ. of Technol., Guangzhou, China
fYear
2014
fDate
15-16 Nov. 2014
Firstpage
775
Lastpage
779
Abstract
This article proposed a stochastic volatility model with T-distribution leveraged (ASV-T model), the model can be used to reflect the leverage effect and the fat-tail effect exist in stock market. Through the statistics analysis of the model, it is proved that the model is workable and is best for the fitting of historical data. With empirical research on Chinese GEM index, it is further proved that the imitative effect of the ASV-T model is the best.
Keywords
statistical analysis; stochastic processes; stock markets; ASV-T model; Chinese GEM index; T-distribution leveraged; fat-tail effect; leverage effect; statistics analysis; stochastic volatility model; stock market; Analytical models; Fluctuations; Indexes; Mathematical model; Predictive models; Stochastic processes; Stock markets; GEM index volatility; fat tail; leverage effect; mcmc; stochastic volatility model;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence and Security (CIS), 2014 Tenth International Conference on
Conference_Location
Kunming
Print_ISBN
978-1-4799-7433-7
Type
conf
DOI
10.1109/CIS.2014.21
Filename
7017004
Link To Document