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| 基于日内价格幅度与回报的随机波动率模型 | |
| 引用本文： | 蒋祥林,吴晓霖,王春峰.基于日内价格幅度与回报的随机波动率模型[J].系统工程,2006,24(6):68-73. |
| 作者姓名： | 蒋祥林 吴晓霖 王春峰 |
| 作者单位： | 1. 复旦大学,金融研究院,上海,200433 2. 上海理工大学,管理学院,上海,200093 3. 天津大学,金融工程研究中心,天津,300072 |
| 基金项目： | 国家自然科学基金;上海市社会科学规划项目 |
| 摘 要： | 金融资产波动率测量与建模是金融理论与实践中的一个重要课题，已经有了许多测量与建模方法。本文引入了基于日内价格幅度与回报两个测度指标的随机波动率模型。利用中国股市数据进行的实证结果表明，与单测度指标的随机波动率模型相比．基于两个测度指标的随机波动率模型能更好地描述股票市场波动率和市场波动风险。 |
| 关 键 词： | 波动率建模 日内价格幅度 日间回报 随机波动率模型 在险价值 |
| 文章编号： | 1001-4098（2006）06-0068-06 |
| 收稿时间： | 2006-04-06 |
| 修稿时间： | 2006-04-06 |
Price-range and Return Based Stochastic Volatility Model——with an Application to Chinese Stock Market Volatility |
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| JIANG Xiang-lin,WU Xiao-lin,WANG Chun-feng.Price-range and Return Based Stochastic Volatility Model——with an Application to Chinese Stock Market Volatility[J].Systems Engineering,2006,24(6):68-73. | |
| Authors: | JIANG Xiang-lin WU Xiao-lin WANG Chun-feng |
| Institution: | 1. Institute for Financial Studies,Fudan Unversity,Shanghai 200433,China; Management School,University of Shanghai for Science and Technology,Shanghai 200093,China; 3. Center of Finance Engineering Tianjin University,Tianjin 300072,China |
| Abstract: | Measurement and modeling of financial asset volatility is an important problem in financial theory and practice. Many ways exist to measure and model financial asset volatility. In this paper we propose to a stochastic volatility model based on daily returns and intra-daily high-low price range jointly. Empirical results on Chinese stock market indicate that stochastic volatility model based on the two index outperforms those based on one index in capturing volatility character and market risk. |
| Keywords: | Volatility Modeling Intra-daily High-low Price Range Inter-daily Returns Stochastic Volatility Model Value at Risk |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |