| 基于MCMC的SCD模型扩展研究 |
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| 引用本文： | 王亚楠,董雅琴,吴祈宗.基于MCMC的SCD模型扩展研究[J].河北机电学院学报,2014(1):27-31. |
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| 作者姓名： | 王亚楠 董雅琴 吴祈宗 |
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| 作者单位： | [1]河北科技大学经济管理学院,河北石家庄050018 [2]北京理工大学管理经济学院,北京100081 |
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| 基金项目： | 国家社会科学基金（13BGL136）;河北科技大学博士基金（QD201306）. |
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| 摘 要： | 以SCD模型为研究对象，借鉴ACD-GARCH模型的建模思路，构建了价格交易持续期、超高频收益率的双因素模型SCD-GARCH模型。考虑到模型双随机变量给模型参数估计带来的困难，运用MCMC方法，对中国股票市场超高频数据进行实证分析，结果表明模型显著。运用DIC准则比较这2类模型，结果显示SCD-GARCH模型总体更优。
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| 关 键 词： | MCMC 交易持续期 ACD-GARCH模型 SCD模型 DIC |
Study on extended SCD model based on MCMC |
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| Authors: | WANG Yanan DONG Yaqin WU Qizong |
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| Affiliation: | 1. School of Economic and Management, Hebei University of Science and Technology, Shijiazhuang Hebei 050018, China; 2. School of Management and Economics,Beijing Institute of Technology, Beijing 100081,China) |
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| Abstract: | SCD model is studied and SCD-GARCH model is made based on ACD-GARCH model. The model is analyzed empir- ically by use of domestic stock markets ultra-high frequency data based on MCMC. The results indicate that the SCD-GARCH model is better in performance under DIC. |
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| Keywords: | MCMC trading duration ACD-GARC H model SCD model DIC |
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