摘要
较为详细地阐述了国外对实际波动率研究的最新成果。首先阐述了实际波动率的理论背景,然后展示了国外研究已得出的一些基本结论,并进一步讨论了关于实际波动率的焦点问题,最后将RV和GARCH作了简要比较。理论及实证表明:实际波动率确实是一个深具理论基础且有重大实用价值的波动率度量。
This paper clarifies the foreign latest result on realized volatility in detail. Firstly, this paper clarifies the theory background of realized volatility. Secondly, some basic conclusions about realized volatility are shown. Thirdly, this paper discusses the focus about realized volatility. Finally, a contrast between RV and GARCH is presented. Theoretical and empirical evidences show that the realized volatility is not only a powerful practical measurement of volatility but also deeply based on theory.
出处
《山东科技大学学报（自然科学版）》
CAS
2003年第3期101-105,共5页
Journal of Shandong University of Science and Technology(Natural Science)
