动态因子、杠杆作用与多元协方差 随机波动

如果α0.538 0.5[0.480,0.581]183μ-0.989-1[-1.035,-0.944]9β1.075 1[1.006,1.136]156μ-0.980-1[-1.021,-0.939]13β0.969 1[0.943,0.995]35μ-0.942-1[-0.991,-0.893]8β1.0401[0.969,1.099]148μ-1.011-1[-1.054,-0.968]11β0.9941[0.968,1.019]30μ-0.982-1[-1.029,-0.934]8β1.0481[0.980,1.107]134μ-0.993-1[-1.040，-0.948]10β1.0021[0.975,1.029]16μ-0.992-1[-1.035,-0.950]10β1.0581[0.990,1.116]158μ-0.982-1[-1.028,-0.936]8β0.9861[0.960,1.010]28μ-0.980-1[-1.025，-0.935]9β1.0351[0.966,1.093]154微处理器–0.990–1[–1.071,-0.913]73β0.9921[0.967,1.018]26μ–0.546–0.5[–0.617,-0.475]73β1.0341[0.965,1.095]149φ0.8920.9[0.846,0.929]50β0.9891[0.963,1.014]25φ0.865 0.9[0.812,0.906]45β1.0601[0.993,1.120]155φ0.899 0.9[0.864,0.929]24β0.9831[0.957,1.008]33φ0.872 0.9[0.827,0.912]34β1.0551[0.988,1.114]145φ0.893 0.9[0.852,0.927]45β0.9861[0.960,1.011]26φ0.888 0.9[0.848,0.922]49β1.071[1.001,1.132]152φ0.878 0.9[0.834,0.915]35β0.9791[0.952,1.005]34φ0.885 0.99[0.844,0.919]47φ0.871.299 0.3[0.254,0.343]6φ0.882 0.9[0.841,0.917]31φ882 0.282 0.3[0.238,0.326]2φ8841 0.9[0.609,0.934]240γ831 0.05[0.0249,0.101]1φ8851 0.9[0.753,0.917]178γ80.06190.05[0.0143,0.109]2ρφ-0.222-0.2[-0.405,-0.042]54ρφ0.121[-0.0213,0.260]49表2：与市场因素有关的参数。

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