Jump-diffusion Stochastic Volatility Model for Estimating the Returns of GBP/CNY Exchange Rates

被引：0
|
作者：
Yang, Ruicheng [1 ]
Wang, Fenglei [1 ]
Xia, Bing [2 ]
机构：
[1] Ludong Univ, Sch Math & Informat, Yantai, Peoples R China
[2] Military Acad Com Tech Equipment, Dept Petty Off, Beijing, Peoples R China
来源：
2009 WASE INTERNATIONAL CONFERENCE ON INFORMATION ENGINEERING, ICIE 2009, VOL I | 2009年
基金：
美国国家科学基金会;
关键词：
jump-diffusiont; Brownian motion; MLE; Poisson process;
D O I：
10.1109/ICIE.2009.74
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper we discuss the volatility of daily returns of GBP/CNY exchange rates, find there exists a leptokurtic feature (higher peak and fat tail) that results from some occasional jumps. So, we introduce the jump-diffusion stochastic volatility model to describe the time series of daily returns, and give the parameter estimations by MLE (maximum likelihood estimation) method. Through the empirical analysis, we compare the simulated data to the real data, derive that the jump-diffusion stochastic volatility model can better fitting the time series of daily returns.
引用
收藏
页码：463 / +
页数：3
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