- 期刊
Analysis of Leverage Effect of China's Stock Market Based on Spline SV Model
並列摘要
In most of the stochastic volatility (SV) literature, the correlation structure in the classical leverage SV model is fixed, which can't reflect the volatility and leverage effect accurately. In this paper, we use the Spline SV model whose correlation is time varying to simulate the volatility of return in China's stock market, then we make a comparison with the basic SV model and the leverage SV model. The results show that the Spline SV model performs better in describing the volatility and leverage effect. In particular, the new model finds strong evidence of time varying leverage effect in individual stocks when the leverage model fails to notice it.
參考文獻
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