| 基于小波的汇率波动序列长记忆性研究 |
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| 引用本文： | 史建平,张传灵,宋国乡.基于小波的汇率波动序列长记忆性研究[J].现代电子技术,2007,30(1):173-175. |
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| 作者姓名： | 史建平 张传灵 宋国乡 |
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| 作者单位： | 1. 西安电子科技大学,理学院,陕西,西安,710071
2. 西安电子科技大学,理学院,陕西,西安,710071;中国工商银行股份公司,陕西省分行,陕西,西安,710004 |
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| 摘 要： | 提出了基于小波方差的时间序列长记忆性分析方法，用该方法对汇率波动序列进行了分析，得到了长记忆参数的精确值。引入了关联尺度函数，对各汇率波动序列长记忆效应的大小程度进行了验证。结果表明各汇率波动序列存在长记忆效应，并且长记忆参数d值越大，汇率波动序列所受历史信息的影响就越强。
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| 关 键 词： | 长记忆 波动序列 离散小波变换(DWT) 小波方差 |
| 文章编号： | 1004-373X（2007）01-173-03 |
| 收稿时间： | 2006-08-16 |
| 修稿时间： | 2006年8月16日 |
Study on Long Memory in Exchange Rate Volatility Series Based on Wavelet |
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| SHI Jianping,ZHANG Chuanling,SONG Guoxiang.Study on Long Memory in Exchange Rate Volatility Series Based on Wavelet[J].Modern Electronic Technique,2007,30(1):173-175. |
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| Authors: | SHI Jianping ZHANG Chuanling SONG Guoxiang |
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| Affiliation: | SHI Jianping, ZHANG Chuanling,SONG Guoxiang( 1. College of Science, Xidian University, Xi＇an, 710071, China;2. Shaanxi Branch, Industrial and Commercial Bank o f China, Xi＇ an, 710004. China) |
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| Abstract: | A long memory analysis method based on wavelet variance for time series was proposed.The exchange rate volatility series was analyzed with this method,and the precise value of long memory parameter was obtained.And the incidence scale function was introduced,it has been carried on the confirmation to long memory effect of various exchange rate volatility series.The results show that various exchange rate volatility series has long memory property,and the greater the value of long memory parameters,the stronger effects of the historical information will the exchange rate volatility series suffer. |
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| Keywords: | long memory volatility series discrete wavelet transform wavelet variance |
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