基于SV-M模型的上证指数结构突变研究

ffected by external factors, there are large fluctuations in China's stock market that would lead to mutation. Therefore, structural mutation of stock market has been being closely concerned by market risk managers. However, most of the literature are about structural mutation in a long period while little of the literature are about structural mutation in a short period .In this paper, based on the high frequency data and the SV-M model of SV model, the author judges the number and location of the mutation of Shanghai stock index by Bayesian method. Empirical results on Shanghai Composite Index show that the SV-M model can better describe the characteristics of the short-term structural mutation of China's stock market.