金融市场的多分形波动率测度、模型及其SPA检验  

Multifractal volatility measure,its model and SPA test in financial market

作　　者：魏宇[1] 

机构地区：[1]西南交通大学经济管理学院,成都610031

出　　处：《管理科学学报》2009年第5期88-99,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(705010257077109770771095);教育部新世纪优秀人才支持计划资助项目(NCET-08-0826);教育部长江学者和创新团队发展计划项目(IRT0806)

摘　　要：提出一种新的金融市场波动率的测度方法——多分形波动率(multifractal volatility)测度,并以上证综指在长达8年左右时间内的高频数据样本为例,构造了多分形波动率的ARFIMA动力学模型.同时,运用最近提出的SPA(superior pred ictive ability)检验法,实证对比了多分形波动率模型与现有的如实现波动率(realized volatility)模型、GARCH模型以及随机波动(stochastic volatility,SV)模型对市场波动预测能力的优劣.实证结果显示,在某些损失函数标准下,文中提出的多分形波动率测度及其动力学模型具有比现有其它模型更优的波动率刻画能力和预测精度.In this paper, a new volatility measure, muhifractal volatility, is constructed. Base on about 8 years＇ high-frequency data of SSEC, we choose ARFIMA model as the dynamic model of multifractal volatility and use SPA by Hansen and Lunde （2005） to test the predicting performance of the multifractal model and other popular models, such as, Realized volatility model, GARCH and Stochastic volatility model. The empirical results show that, for some kinds of loss functions, muhifractal volatility measure and its ARFIMA model have better predicting performance than other existing volatility models.

关 键 词：多分形波动率 实现波动率 波动率测度 预测 SPA检验 

分 类 号：F224[经济管理—国民经济] F830