On the afternoon of May 3, invited by the Department of Statistics of Northern Illinois University (NIU), Dr. Fang Guobin from the Department of Economic Statistics of the University of Illinois, who was conducting an academic visit to the University of Northern Illinois, gave a lecture titled “The Academic report of the FFBS Estimation of High-Dimensional Panel Data Factor Stochastic Volatility Models.

 Northern Illinois University is a public school with a history of more than 120 years. There are many aspects of cooperation with our school, not only the teacher-student exchange program, but also the statistical (care actuarial) professional "2+2" international cooperation school project, the first international cooperation class undergraduate graduates will be 5 this year Graduated from the month.

 Dr. Fang Guobin first expressed his gratitude to the Department of Statistics of Northern Illinois University for his invitation to visit, as well as a series of working conditions and various support provided during the one-year visit. He felt that he had learned a lot during the NIU year and his personal ability has improved.

 Dr. Fang Guobin’s report is one of the results of his cooperation with NIU. In this work, they proposed a new high-dimensional panel data factor stochastic volatility model, and discussed issues such as model estimation and application. Because the model has many parameters to estimate and contains observable and unobservable factors, they use a Bayesian estimation method based on forward filtered backward sampling (FFBS). Numerical simulation results show that the model has good estimation results and explanatory ability. In the actual data analysis of China's Internet financial market and traditional financial market, it has also achieved good application results.

 After the report, Dr. Fang Guobin answered some questions raised by the teachers and students, and hoped to further cooperate with NIU in the future.