基于高频方差持续的资本资产定价模型研究  

The Research on Capital Asset Pricing Model Based on Persistence of Conditional Variances in High-frequency Data

作　　者：唐勇[1] 张世英[1] 张瑞锋[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程理论与实践》2006年第10期9-16,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70471050)

摘　　要：对高频金融时间序列的“已实现”波动和“已实现”协方差提出相应的模型并建立“已实现”波动自回归移动平均模型和“已实现”波动向量自回归模型.同时,给出了高频时间序列持续性定义及相关性质.在“已实现”波动自回归移动平均模型基础上,从条件方差持续性的角度,讨论了条件方差的持续性对资产资本定价模型的影响.又进一步讨论了多资产组合条件下,“已实现”波动向量自回归模型持续性对组合投资的影响.给出了基于“已实现”波动自回归移动平均模型的实证分析,指出当模型具有单位根时条件方差对资产定价的影响是持续的.最后讨论了条件方差持续性质在金融分析中的现实意义.The corresponding models of realized volatility and realized covariance of time series of high-frequency finance are brought forward and the realized volafility-autoregressive and moving average（ RV-ARMA）model and the realized volatility-vector autoregressive （RV-VAR） model are set up. The persistence definition and correlative character of high-frequency time series are given at the time. Based on the RV-ARMA model, it is discussed that the persistence of conditional variances has a effect on capital asset pricing model （CAPM） from persistence viewpoint. Moreover, we analyze the persistence of multi-asset portfolio which follows a RV-VAR process. Based on the RVARMA model, the empirical analysis points out the facts that the conditional variances have a persistent effect on capital asset pricing in model with root. Finally, the realistic meaning of persistence character of conditional variances in finance analysis is discussed.

关 键 词：条件方差 持续性 资本资定价模型 

分 类 号：F224.0[经济管理—国民经济]