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### 基于拟似然方法的股票收益与波动率关系及其应用研究

• 出版日期:2018-05-25 发布日期:2018-05-25

### The Relationship between Equity Yields and Volatility Based on Quasi-likelihood Approach as well as Its Application

Lin Jinguan et al.

• Online:2018-05-25 Published:2018-05-25

Abstract: The relationship between yields and volatility in stock market plays an important role in the field of financial securities, and the stochastic volatility model can fit it very well. This paper applies quasi-likelihood and asymptotic quasi-likelihood approaches to the parameter estimation of stochastic volatility model. The asymptotic quasi-likelihood approach is more robust as it can avoid the bias caused by the artificially misspecified structure. Simulation study is done in this paper to estimate the parameters in the stochastic volatility model using quasi-likelihood and asymptotic quasi-likelihood approaches, furthermore to compare with those from the other two methods available in the literature. The result shows that the proposed methods have performed well in parameter estimation. In the empirical analysis, by using the S&P 500 index from 2000 to 2015, and the result shows that the chosen data have the common characteristics in financial time series. This paper provides some implications for further study on the relationship between equity yields and volatility as well as its application.