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author:

唐勇 (唐勇.) [1] (Scholars:唐勇) | 黄志刚 (黄志刚.) [2] (Scholars:黄志刚)

Indexed by:

CQVIP PKU CSCD

Abstract:

针对修正因子的不足,对多分形波动率进行了改进.以改进的多分形波动率为中心,建立了考虑跳跃,杠杆效应等典型特征的HAR类波动模型.通过对上证综指高频数据进行分析,从模型拟合,预测和风险值预测三方面评价,HAR-L-lnMFVt-CJ是最优的波动模型,且该模型优于传统的EGARCH-J模型和NGARCH-J模型.这些研究说明了修正的多分形波动率测度是更为有效的波动估计量.

Keyword:

多分形 杠杆效应 波动建模 跳跃 高频数据

Community:

  • [ 1 ] [唐勇]福州大学
  • [ 2 ] [黄志刚]福州大学

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Source :

系统科学与数学

ISSN: 1009-6124

CN: 11-4543/O1

Year: 2015

Issue: 6

Volume: 35

Page: 667-684

0 . 5 4 2

JCR@2015

2 . 6 0 0

JCR@2023

ESI Discipline: MATHEMATICS;

ESI HC Threshold:86

JCR Journal Grade:4

Cited Count:

WoS CC Cited Count:

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count: -1

Chinese Cited Count:

30 Days PV: 1

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