股票月收益实际波动率的实证研究

阐述了实际波动率的理论背景，以及国外在实际波动率研究方面已得出的一些基本结论．对深沪股市随机抽取的30只股票数据进行了实证检验，得出对数实际月波动率序列的分布与正态分布无差异、月收益率经月实际波动率标准化后的序列的分布与正态分布无差异的结论．利用月实际波动率对广义自回归条件异方差类模型的波动率模拟效果进行了检验，发现该模型的波动率度量精度略胜一筹，但也只能解释一小部分收益率的变动．

Empirical Study on Monthly Realized Volatility of Stock Return

This paper clarifies the theory background of realized volatility firstly,then some basic conclusions about realized volatility are shown.Thirdly,this paper performs the empirical test using 30 stocks which are randomly got from Shen-Hu security market.Finally,we find the approximately normal distributions of the logarithmic volatilities and the approximately normal distributions of monthly returns standardized by realized volatilities.Finally,the measuring accuracy of generalized autoregressive conditional heteroskedasticity (GARCH) models is tested through realized volatility.We find that the standard GARCH model is a bit better than other models although it can only explain a little part of return variation.