基于日内价格幅度与回报的随机波动率模型  

Price-range and Return Based Stochastic Volatility Model——with an Application to Chinese Stock Market Volatility

作　　者：蒋祥林[1] 吴晓霖[2] 王春峰[3] 

机构地区：[1]复旦大学金融研究院,上海200433 [2]上海理工大学管理学院,上海200093 [3]天津大学金融工程研究中心,天津300072

出　　处：《系统工程》2006年第6期68-73,共6页Systems Engineering

基　　金：国家杰出青年科学基金资助项目(70225002);上海市哲学社会科学规划项目(2005BJB002)

摘　　要：金融资产波动率测量与建模是金融理论与实践中的一个重要课题,已经有了许多测量与建模方法。本文引入了基于日内价格幅度与回报两个测度指标的随机波动率模型。利用中国股市数据进行的实证结果表明,与单测度指标的随机波动率模型相比,基于两个测度指标的随机波动率模型能更好地描述股票市场波动率和市场波动风险。Measurement and modeling of financial asset volatility is an important problem in financial theory and practice. Many ways exist to measure and model financial asset volatility. In this paper we propose to a stochastic volatility model based on daily returns and intra-daily high-low price range jointly. Empirical results on Chinese stock market indicate that stochastic volatility model based on the two index outperforms those based on one index in capturing volatility character and market risk.

关 键 词：波动率建模 日内价格幅度 日间回报 随机波动率模型 在险价值 

分 类 号：F830[经济管理—金融学]