STUDY ON THE SEQUENCE VOLATILITY OF FINANCIAL ASSETS BASED ON MARKOV CHAIN MONTE CARLO SIMULATION

Abstract

In recent years, a new issue occurs in the financial academy and business circles, i.e., dynamics of the financial asset price and its volatility model.  However, lots of problems in the financial asset price and its volatility model at present have made the motor behaviors of emergencies in the fitting financial market become difficult; whats more, the limitation of parameter estimation on the practical application of models can increase with the increase of model complexity.  Estimation of financial temporal models is usually based on classical statistical methods, and the measuring standard of the volatility estimation model is calculated using the actual volatility of low-frequency data.  Therefore, taking the price fluctuation of Shanghai Stock Exchange A-share index as an example, this study constructed a model and aimed to analyze the sequence volatility of financial assets based on Markov chain Monte Carlo simulation methods.