| 调整"已实现"波动率与GARCH及SV模型对波动的预测能力的比较研究 |
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| 引用本文： | 徐正国,张世英.调整"已实现"波动率与GARCH及SV模型对波动的预测能力的比较研究[J].系统工程,2004,22(8):60-63. |
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| 作者姓名： | 徐正国 张世英 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金资助项目(70171001) |
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| 摘 要： | 高频金融时间序列的分析与建模是金融计量学的一个全新的研究领域，“已实现”波动率是针对高频金融时间序列的一种全新的波动率的度量方法。为了降低“已实现”波动的测量误差，提出更有效的调整“已实现”波动。针对调整“已实现”波动的长记忆性和“杠杠”效应建立ARFIMAX模型。通过设定一系列标准，全面比较基于调整“已实现”波动的ARFIMAX模型、GARCH模型以及SV模型的预测能力。
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| 关 键 词： | 高频金融时间序列 调整“已实现”波动率 二次变差 长记忆性 Mincer—Zarnowitz回归 |
| 文章编号： | 1001-4098(2004)08-0060-04 |
The Comparative Research on Volatility Prediction Ability of Adjusted Realized Volatility,GARCH Model and SV Model |
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| XU Zheng-guo,ZHANG Shi-ying.The Comparative Research on Volatility Prediction Ability of Adjusted Realized Volatility,GARCH Model and SV Model[J].Systems Engineering,2004,22(8):60-63. |
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| Authors: | XU Zheng-guo ZHANG Shi-ying |
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| Abstract: | High-frequency financial time series analysis and modeling is a new research field in financial econometrics, and (realized) volatility is a new measure approach of volatility in high-frequency data field. The paper puts forward a more (efficient) approach which is adjusted realized volatility based on realized volatility. This paper constructs ARFIMAX model (aimed) at the adjusted realized volatility's long memory characteristics and leverage effect. At last, through a variety of (criterions) the paper studies prediction ability of adjusted realized volatility, GARCH model and SV model. |
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| Keywords: | High-frequency Financial Time Series Adjusted Realized Volatility Quadratic Variation Long Memory (Characteristics ) Mincer-zarnowitz Regression |
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