高频环境下沪深300股指期货波动测度——基于已实现波动及其改进方法  

Measurement of CSI 300 stock index futures volatility under high-frequency environment—Methods based on realized volatility and its modification

作　　者：龙瑞[1] 谢赤[1,2] 曾志坚[1,2] 罗长青[1] 

机构地区：[1]湖南大学工商管理学院,长沙410082 [2]湖南大学金融与投资管理研究中心,长沙410082

出　　处：《系统工程理论与实践》2011年第5期813-822,共10页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(07AJL005);国家软科学研究计划项目(2010GXS5B141);教育部高等学校优秀青年教师研究基金(教人司2002[123]);高等学校博士学科点专项科研基金(20070532091)

摘　　要：作为中国唯一上市交易的金融期货产品,沪深300股指期货在资本市场价格发现和风险防范过程中扮演重要角色,科学准确地测度其收益波动对充分实现股指期货避险功能具有重要理论和现实价值.在日内高频信息环境下分别采用经典已实现波动率、已实现极差波动率和已实现双幂波动率等三类方法对沪深300股指期货的收益波动进行测度,通过样本内预测误差指标对上述方法的测度性能进行比较.实证结果表明:沪深300股指期货在上市交易后表现出由剧烈波动到渐趋平稳的波动特征,已实现波动的改进方法在沪深300股指期货收益波动的测度性能上具有较为明显的优越性.As the only publicly launched financial futures contracts of China, CSI 300 stock index futures plays an important role in the process of price discovery and risk prevention of the capital market. The measurement of its return volatility is significantly important to achieve the risk aversion function of stock index futures. Under the intraday high-frequency data environment, the return volatility of Chinese CSI 300 stock index futures was measured by realized volatility methods including classical realized volatility, realized range-based volatility and realized bipower volatility. The in-sample prediction error indicators were introduced to distinguish the performance of the methods above. The empirical results indicate that the return volatility of CSI 300 stock index futures fluctuated fiercely at the beginning after listing while then changed to be stable, and modified methods of realized volatility show a better measurement performance of return volatility of CSI 300 stock index futures than classical realized volatility.

关 键 词：已实现波动 已实现极差波动率 已实现双幂波动率 股指期货 高频数据 

分 类 号：F830.91[经济管理—金融学]