| 管河山，王 谦， 刘 春.V/S长记忆检验的有效性——以上证50指数及其成分股为例[J].,2015,16(3):54-58 |
| V/S长记忆检验的有效性——以上证50指数及其成分股为例 |
| Study on the V/S Test Validity of Long Memory——As the SSE50 index and its 50 constituent stocks for example |
| 投稿时间：2015-04-20 |
| DOI： |
| 中文关键词: 时间序列 长记忆性 V/S 有效性 |
| English Keywords:financial time series long memory V/S test validity |
| Fund Project: |
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| 中文摘要: |
| 文章采集上证50综合指数及其成分股数据进行V/S长记忆性检验，实证发现：V/S方法具有较好的稳健性，但其计算复杂度较高，不适合处理海量的数据；采用日、周或月三种采样间隔所得到数据的检验结果有显著差异。增大采样时间间隔虽然可以减少数据量、简化计算，但将导致检验结论不一致；上证50综合指数检验结果与其成分股数据检验结果之间存在明显区别，由此可见，综指与其成分股的长记忆性判断不可混为一谈。实践中应谨慎对待V/S检验结果。 |
| English Summary: |
| The paper did V/S Test with the data of SSE50 index and its 50 constituent stocks in Shanghai Security Exchange and also found that: The V/S method has high complexity and time-consuming in calculation,so it may not be suitable for handling massive amounts of dataunder different collected ways of data（day,week and month）,the results are significantly different in the V/S test of long memoryincreasing the sampling interval can reduce the amount of data and simplify the calculation,but it will lead to an inconsistent conclusions of the test the long memory test results of 50 constituent stocks of SSE50 index are not very consistent,thus,we cannot confuse the results of them.In a word,the long memory test results still should be treated seriously. |
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