摘要
本文研究了中国股票市场指数时间序列的多标度行为 ,对不同时间跨度的指数增量序列与收益率序列、广义累积绝对收益序列的标准差进行了标度分析 ,分析表明标准差与时间跨度满足幂律关系 ,且幂指数不是唯一的 ,具有多标度的特征 ,并把计算的标度指数用于刻画估计波动率的分析。
We study the multiscale behaviour of Chinese stock market indices. By performing a scaling analysis of the standard deviations of index variations over time intervals of different sizes, index returns over time intervals of different sizes and the generalized cumulative absolute returns (GCAR), we show that there are the power-laws correlations between the standard deviations of GCAR and the time intervals and that the power exponent is not unique (multiscale behaviour). We also analyse the distribution of volatility using the computed scaling exponent.
出处
《预测》
CSSCI
2002年第4期56-59,共4页
Forecasting
