Modeling and Empirical Research of Continuous-Time Stochastic Volatility Models with Jumps
Tong Zhang · Journal of systems management · 2007
Models with jumps or models with stochastic volatilities can not describe the distributing of stock price and return.In this paper we analyses Chinese stock market using the continuous-time stochastic volatility models with jumps in returns and volatilities.Estimating the model by MCMC and taking two examples based on 1996~1997 and 2002~2004 Shanghai Stock Exchange index.The results show that the volatilities and jumps in Chinese stock market now becomes small.