摘要
运用改进的Tapered对数周期图方法对带有结构变点的长记忆模型的参数和变点进行估计,对上证指数的波动性进行长记忆检验及变点讨论,研究结果表明,上证指数的波动率序列同时具有显著的长记忆特性以及结构变点。
In this paper,the modified tapered log-periodogram method is proposed for estimating the long memory parameter and the change point.We apply it to test the long memory and discuss the change point of the volatility of the Shanghai stock market index The results show that the series of the volatility of Shanghai stock market index have significant long memory features and structural change points simultaneously.
出处
《安庆师范学院学报（自然科学版）》
2011年第1期35-37,84,共4页
Journal of Anqing Teachers College(Natural Science Edition)
