On the Volatility of High Frequency Stock Index Based on SV Model of MCMC

被引：0
|
作者：
Zheng, Y.X. [1 ,2 ]
Zhang, Y.H. [2 ]
Lu, X.H. [3 ]
机构：
[1] Technology Support Group, Migu Culture Technology Com., Ltd, Beijing,100032, China
[2] Department of Mathematics, Beijing Technology and Business University, Beijing,100048, China
[3] School of Statistics and Mathematics, Central University of Finance and Economics, Beijing,100026, China
来源：
Springer Proceedings in Mathematics and Statistics | 2020年 / 302卷
基金：
中国国家自然科学基金;
关键词：
Bayesian Analysis - Empirical research - Gibbs sampling - High frequency data - High frequency HF - Low-frequency data - Stochastic Volatility Model - Volatility persistence;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
18
引用
收藏
页码：271 / 278
相关论文
共 50 条
  • [21] Estimation and Convergence Diagnostics of Stochastic Volatility Model Based on MCMC Technique
    Yin Xiaocui
    RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2, 2011, : 1461 - 1464
  • [22] The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news
    Antoniou, A
    Holmes, P
    Priestley, R
    JOURNAL OF FUTURES MARKETS, 1998, 18 (02) : 151 - 166
  • [23] Volatility Forecasting for High-Frequency Financial Data Based on Web Search Index and Deep Learning Model
    Lei, Bolin
    Zhang, Boyu
    Song, Yuping
    MATHEMATICS, 2021, 9 (04) : 1 - 17
  • [24] Forecasting Volatility of Stock Index: Deep Learning Model with Likelihood-Based Loss Function
    Jia, Fang
    Yang, Boli
    COMPLEXITY, 2021, 2021
  • [25] Least Squares Support Vector Regression Based CARRX Model for Stock Index Volatility Forecasting
    Geng, Liyan
    Ma, Junhai
    2008 INTERNATIONAL SEMINAR ON FUTURE INFORMATION TECHNOLOGY AND MANAGEMENT ENGINEERING, PROCEEDINGS, 2008, : 406 - 409
  • [26] Volatility forecasting for stock market index based on complex network and hybrid deep learning model
    Song, Yuping
    Lei, Bolin
    Tang, Xiaolong
    Li, Chen
    JOURNAL OF FORECASTING, 2024, 43 (03) : 544 - 566
  • [27] Forecasting the volatility of stock price index
    Roh, Tae Hyup
    ADVANCED DATA MINING AND APPLICATIONS, PROCEEDINGS, 2006, 4093 : 424 - 435
  • [28] Forecasting the volatility of stock price index
    Roh, Tae Hyup
    EXPERT SYSTEMS WITH APPLICATIONS, 2007, 33 (04) : 916 - 922
  • [29] A Bayesian approach to model changes in volatility in the Mexican stock exchange index
    Cabrera, Gustavo
    Coronado, Semei
    Rojas, Omar
    Romero-Meza, Rafael
    APPLIED ECONOMICS, 2018, 50 (15) : 1716 - 1724
  • [30] Forecasting global stock market volatility: The impact of volatility spillover index in spatial-temporal graph-based model
    Son, Bumho
    Lee, Yunyoung
    Park, Seongwan
    Lee, Jaewook
    JOURNAL OF FORECASTING, 2023, 42 (07) : 1539 - 1559
12345