Hmm Extended Revenue Structure Of The China Securities Empirical Research

This paper mainly research the structures of returns in security'market of China,with the extension based the HMM.First,By the test of BDE, we found that the beta, very important element,changed with the time,so new models need to include the information.From the other aspect,the new models may be better than the common regression method.Additionally,the new model presume that there is a kind related structure each other,differing from the model lying the single times series and may make use of the data. In practice,we compared the new models with the others in the means Of the real returns of the optmal portfolios selected by them each other.The conclusion that The extension of HMM is the best when the length of the times series is short is in evidence.This fact also confirmed the rationality of models.We also found that the forecasting of model is not only related to complexity Of itself,but also related precise nature of estimation of parameters in models.