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

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.

关键词： jump-diffusiont Brownian motion MLE Poisson process

作者: Ruicheng Yang Fenglei Wang Bing Xia

作者单位: Sch.Math, and Information Ludong University Yantai, China Dept.Petty Officer Military Academy Com.Tech.Equip.Beijing, China

会议类型: 国际会议

会议名称: 2009 WASE International Conference on Information Engineering(2009年国际信息工程会议)(ICIE 2009)

会议地点: 太原

会议语种:英文

页码: 463-466

在线出版日期: 2009-07-10（万方平台首次上网日期，不代表论文的发表时间）