不同矩属性波动模型对中国股市波动率的预测精度分析  

Forecasting Volatility of Chinese Stock Market Using Volatility Models with Different Moment

作　　者：王鹏[1] 魏宇[1] 王建琼[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《数理统计与管理》2010年第3期550-559,共10页Journal of Applied Statistics and Management

基　　金：国家自然科学基金(70501025;70771097)

摘　　要：金融时间序列的波动性建模经历了从一阶矩到二阶矩直到高阶矩(包含三阶矩和四阶矩)的过程,而对于高阶矩波动模型是否有助于对未来市场的波动率预测这一问题,国内外学术界尚无文献讨论。以上证综指长达7年的每5分钟高频数据样本为例,通过构建具有不同矩属性的波动模型,计算了中国股票市场波动率的预测值,并利用具有bootstrap特性的SPA检验法,实证检验了不同矩属性波动模型的波动率预测精度差异。实证结果显示:就中国股市而言,四阶矩波动模型能够取得比二阶矩波动模型更优的波动率预测精度,而三阶矩波动模型并未表现出比二阶矩波动模型更强的预测能力;在高阶矩波动模型中包含杠杆效应项并不能提高模型的预测精度。最后提出了在金融风险管理、衍生产品定价等领域引入四阶矩波动模型的研究思路。In this paper,one high-frequency dataset of SSEC is used to calculate the volatility forecasts based on different volatility models,which have different moment attribute.We compare the forecasting performance of different kinds of volatility models using SPA test.The empirical results show that： higher moments volatility models which contain conditional skewness and conditional kurtosis have more outstanding forecasting performance than GARCH family model.However,this conclusion is not the same with models which contain conditional skewness only.It is inutility to add leverage effect term in higher moments volatility models.Finally,the idea of using four moment model to risk management and derivative pricing is been presented.

关 键 词：波动预测 高阶矩波动模型 GARCH族模型 SPA检验 

分 类 号：F224.0[经济管理—国民经济] O212[理学—概率论与数理统计]