Research on Industry Index Fluctuation of Stock Market Based on SV-T Model

Abstract

In a complex market environment, it is important to describe and predict the volatility of returns in various industries. In this paper, after ADF stability test is conducted on the return rate sequence of building materials, real estate, medicine biological, non-bank finance, and communication industry, SV-T modeling is carried out, and the parameter estimation range of SV-T model is obtained by using MCMC method and Winbugs software. After ten thousand iterations, under the condition that the Markov chain of parameters obtained by Gibbs sampling method converges, the parameter estimation results of SV-T model are obtained. According to the parameter estimation results of SV-T model in each industry, the difference of investment risk and volatility predictability among five target industries is compared and analyzed.