| 高频数据下投资组合风险预测模型比较 |
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| 引用本文： | 王春峰,张蕊,房振明,李晔. 高频数据下投资组合风险预测模型比较[J]. 系统工程, 2007, 25(3): 23-28 |
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| 作者姓名： | 王春峰 张蕊 房振明 李晔 |
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| 作者单位： | 天津大学,金融工程研究中心,天津,300072 |
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| 基金项目： | 国家自然科学基金;高等学校优秀青年教师教学科研奖励计划 |
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| 摘 要： | ＂已实现＂协方差矩阵是对投资组合波动性及相关性的一种全新的度量方法.系统介绍基于高频交易数据的＂已实现＂波动率及由它拓展而来的＂已实现＂协方差矩阵.利用样本数据对模型进行检验,并比较分析该方法与DCC-GARCH方法的优劣.对比结果说明,这种基于高频交易数据的多元RV估计方法在估计精度和计算简便程度上明显优于DCC-GARCH方法.
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| 关 键 词： | 多元波动性 " 已实现" 波动率 " 已实现" 协方差 |
| 文章编号： | 1001-4098（2007）03-0023-06 |
| 修稿时间： | 2006-06-12 |
Comparison and Analysis of the Models of Forecasting Portfolio Risk Based on High-frequency Exchange Data |
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| WANG Chun-feng,ZHANG Rui,FANG Zhen-ming,LI Ye. Comparison and Analysis of the Models of Forecasting Portfolio Risk Based on High-frequency Exchange Data[J]. Systems Engineering, 2007, 25(3): 23-28 |
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| Authors: | WANG Chun-feng ZHANG Rui FANG Zhen-ming LI Ye |
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| Affiliation: | Financial Engineering Research Center, Tianjin University, Tianjin 300072,China |
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| Abstract: | Realized covariance matrix is a new measurement of the volatility and correlation of portfolio. Based on the highfrequency data, the realized volatility and realized covariance matrix was introduced systematically. With sample data, the multivariate RV model was verified, and also compared with the DCC-GARCH model. The result indicated that the RV model has the better performances on the estimation accuracy and computation simplicity. mltivariate |
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| Keywords: | DCC-GARCH |
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