保险与金融工程教研室学术讲座

报告题目：Fractional Stochastic Volatility Model

报 告 人：刘晓彬 (浙江大学经济学院 研究员)

主 持 人：刘彦初（中山大学岭南学院 副教授）

时    间：2022年6月17日（周五）下午14:30

地    点：MBA楼701 + 线上（腾讯会议号：377-707-766）

语    言：中文 + 英文

Abstract：

This paper introduces a discrete-time fractional stochastic volatility model (FSV) based on fractional Gaussian noise. The new model includes the standard stochastic volatility model as a special case and has the same limit as the fractional integrated stochastic volatility (FISV) model. A simulated maximum likelihood method, which maximizes the time-domain log-likelihood function calculated by the importance sampling technique, and a frequency-domain quasi maximum likelihood method (or quasi Whittle) are employed to estimate the model parameters. Simulation studies suggest that, while both estimation methods can accurately estimate the model, the simulated maximum likelihood method outperforms the quasi Whittle method. As an illustration, we fit the FSV and FISV models with the proposed estimation techniques to the S&P 500 composite index over a sample period spanning 45 years. Our results reveal that the volatilities of the data series are persistent and rough.

个人简介：

        刘晓彬博士现任浙江大学经济学院百人计划研究员、博士生导师，浙江大学金融研究院研究员。研究兴趣为金融计量与计量理论、实证资产定价以及宏观经济，部分研究成果发表于Review of Economics and Statistics、Journal of Econometrics、Journal of Business & Economic Statistics、《金融研究》等国内外学术刊物。讲座报告人主页：https://person.zju.edu.cn/liuxiaobin

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