沪深300股指期货的波动率预测模型研究  

Volatility forecasting models for CSI300 index futures

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》2010年第2期66-76,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70501025;70771097;70771095);教育部新世纪优秀人才支持计划资助项目(NCET-08-0826);教育部创新团队发展计划资助项目(PCSIRT0860)

摘　　要：以沪深300股指期货仿真交易的5分钟高频数据为例,运用滚动时间窗的样本外预测和具有Bootstrap特性的SPA检验法,全面对比了基于日收益数据的历史波动率(historical volatility)模型和基于高频数据的已实现波动率(realized volatility)模型对波动率的刻画和预测能力.主要实证结果显示,已实现波动率模型以及加入附加解释变量的扩展随机波动模型是预测精度较高的波动模型,而在学术界和实务界常用的GARCH及其扩展模型对沪深300股指期货的波动率预测能力最弱.Taking 5-minutes high-frequency mock trading data of CSI300 index futures as example, the out-of- sample daily volatility predictions of these models are calculated by using rolling predicting method, and a bootstrap SPA test is used to evaluate the predicting accuracy for different historical volatility models and real- ized volatility models. The empirical results show that, realized volatility model based on high-frequency data and the extended SV model are superior to other models. However the GARCH and its extended model, which are popular in financial academe and practice, perform worst for volatility predicting of CSI300 index futures.

关 键 词：沪深300股指期货 已实现波动率模型 随机波动模型 GARCH模型 SPA检验 

分 类 号：F224[经济管理—国民经济]