科技股突变的滞后作用分析——基于Bai-Perron检验
首发时间:2018-09-18
摘要:了解科技股股价序列由于不同性质因素影响而产生结构性突变这一响应的滞后期,在对不同因素响应滞后期观察后,比较不同因素对科技股股价序列的影响。采用ARICH模型,对序列进行去除趋势平稳化操作后,建立模型,并采用一步预测,检测模型拟合效果,之后用Bai-Perron检验对数据的内生性突变时间进行识别,并与样本期内实际事件发生时间点进行比较,观察响应滞后期.最终得出以下结论,科技股股价序列对政策性因素较经济性因素产生,结构性突变这一响应的响应滞后期要长,但政策性因素对序列影响时间更久。
关键词: 时间序列分析 内生突变 Bai-perron检验 响应滞后期
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Hysteresis Effect of Technology Stocks Mutation: Based on Bai-Perron Test
Abstract:The purpose is to understand the lag period of the response of structural stocks due to the influence of different nature factors. After observing the lag period of different factors, the effects of different factors on the stock price series of technology stocks are compared. The research method is to use the ARICH model to smooth the sequence after removing the trend, establish a model, and use one-step prediction to detect the model fitting effect, then use the Bai-Perron test to identify the endogenous mutation time of the data, and During the sample period, the actual event occurrence time points are compared, and the response lag period is observed. The research conclusion is that the technology stock price sequence has a long lag response to the response of the policy factor to the structural factor of the economic factor, but it is The sequence affects longer.
Keywords: Time series analysis Endogenous mutation Bai-Perron test Response lag period
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科技股突变的滞后作用分析——基于Bai-Perron检验
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