摘要
本文研究沪深300股指期货市场已实现波动率的动态特征。基于已实现双幂变差理论将已实现波动率分解为连续波动和跳跃波动,并分别建立模型进行实证研究。结果表明:连续波动是已实现波动率的主要构成部分,其均值结构突变特征与已实现波动率基本一致;连续波动自身的周效应及收益率的周规模效应对连续波动影响显著;连续波动对跳跃波动的周效应影响最大;跳跃等待时间间隔表现出持久性特征。
The dynamics features of realized volatility for the CSI 300 Index futures market are studied.Based on bipower variation measures theory,the realized volatility is divided into continuous and jump components,dynamics models are established separately for the empirical research.The results shows continuous volatility is the main component for the intraday realized volatility,its mean structural change has exactly the same feature with that of the realized volatility.The weekly effects of continuous volatility and weekly scale effects of returns have significant influence to continuous volatility.The weekly effects of continuous to jump volatility is the largest.Jump duration has persistence feature.
出处
《中国管理科学》
CSSCI
北大核心
2012年第S1期451-458,共8页
Chinese Journal of Management Science
基金
西南财经大学"211工程"三期重点项目基金及华西期货资助
