| 中国股市波动测度实证研究 |
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| 引用本文： | 陆利桓,李汉东.中国股市波动测度实证研究[J].北京师范大学学报(自然科学版),2009,45(3):319-322. |
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| 作者姓名： | 陆利桓 李汉东 |
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| 作者单位： | 北京师范大学管理学院,100875,北京;北京师范大学管理学院,100875,北京 |
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| 基金项目： | 国家自然科学基金资助项目(70771012) |
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| 摘 要： | 提出了一种基于非参数波动测度的综合测度方法,该方法以已实现极差波动测度为基础,根据混合抽样模型(MIDAS)的思想,利用多元回归方法将基于高频数据的不同时间尺度的已实现极差波动测度组合成综合测度.通过对中国股票市场综合指数分析,发现利用综合测度方法可以更好描述高频数据的波动行为.
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| 关 键 词： | 已实现极差波动 MIDAS模型 波动测度 |
EMPIRICAL VOLATILITY MEASUREMENT OF THE CHINESE STOCK MARKET |
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| LU Lihuan,LI Handong.EMPIRICAL VOLATILITY MEASUREMENT OF THE CHINESE STOCK MARKET[J].Journal of Beijing Normal University(Natural Science),2009,45(3):319-322. |
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| Authors: | LU Lihuan LI Handong |
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| Institution: | School of Management;Beijing Normal University;100875;Beijing;China |
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| Abstract: | A non-parameter and comprehensive volatility measurement method based on realized range-based volatility is presented to describe volatility dynamics.According to the theory of mixed data sampling(MIDAS),the comprehensive measurement method can be found by multiple regression analysis and high-frequency data at different frequencies.Through empirical analysis of Chinese Stock Market index,it is confirmed that the comprehensive measurement method is a better way to describe volatility of high-frequency data. |
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| Keywords: | realized range-based volatility MIDAS model volatility measure |
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