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
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;
Conference_Titel :
Computational Intelligence and Security (CIS), 2014 Tenth International Conference on
Conference_Location :
Kunming
Print_ISBN :
978-1-4799-7433-7
DOI :
10.1109/CIS.2014.21
