已实现波动和赋权已实现波动的比较研究  

Study on the Comparison Between Realized Volatility and Weighted Realized Volatility

作　　者：李玲珍[1] 郭名媛[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《西北农林科技大学学报（社会科学版）》2009年第2期44-47,共4页Journal of Northwest A&F University(Social Science Edition)

基　　金：国家自然科学基金资助项目(70471050)

摘　　要：已实现波动是针对高频金融时间序列的一种全新的波动度量方法,具有不需要模型和计算方便的优点。赋权已实现波动则对已实现波动进行了改进,是另一种更为有效的波动度量方法。本文从定义形式、无偏性、有效性、日历效应等方面对已实现波动和赋权已实现波动加以比较。通过对上海股票市场的实证研究,说明了赋权已实现波动是优于已实现波动的波动估计量。Realized volatility is a new measure approach of volatility in high-frequency time series. Realized volatility is model-free and can be computed easily. Weighted realized volatility is a more efficient volatility measurement, which makes realized volatility become its special case. In this paper, we compare realized volatility and weighted realized volatility from four aspects, defnition, bias, efficiency and calendar effect. Through the empirical study on the Shanghai stock market, it proves weighted realized volatility is superior to realized volatility.

关 键 词：已实现波动 赋权已实现波动 日历效应 无偏性 有效性 

分 类 号：F830.91[经济管理—金融学]