基于高频方差持续的资本资产定价模型研究

对高频金融时间序列的“已实现”波动和“已实现”协方差提出相应的模型并建立“已实现”波动自回归移动平均模型和“已实现”波动向量自回归模型.同时,给出了高频时间序列持续性定义及相关性质.在“已实现”波动自回归移动平均模型基础上,从条件方差持续性的角度,讨论了条件方差的持续性对资产资本定价模型的影响.又进一步讨论了多资产组合条件下,“已实现”波动向量自回归模型持续性对组合投资的影响.给出了基于“已实现”波动自回归移动平均模型的实证分析,指出当模型具有单位根时条件方差对资产定价的影响是持续的.最后讨论了条件方差持续性质在金融分析中的现实意义.

The Research on Capital Asset Pricing Model Based on Persistence of Conditional Variances in High-frequency Data

The corresponding models of realized volatility and realized covariance of time series of high-frequency finance are brought forward and the realized volatility-autoregressive and moving average(RV-ARMA)model and the realized volatility-vector autoregressive(RV-VAR) model are set up.The persistence definition and correlative character of high-frequency time series are given at the time.Based on the RV-ARMA model,it is discussed that the persistence of conditional variances has a effect on capital asset pricing model(CAPM) from persistence viewpoint.Moreover,we analyze the persistence of multi-asset portfolio which follows a RV-VAR process.Based on the RV-ARMA model,the empirical analysis points out the facts that the conditional variances have a persistent effect on capital asset pricing in model with root.Finally,the realistic meaning of persistence character of conditional variances in finance analysis is discussed.