基于有效波动率的市场一般性风险测度研究  

Measurement of General Market Risk Based on Effective Volatility

作　　者：陈通[1] 刘杨[1] 

机构地区：[1]天津大学管理学院

出　　处：《投资研究》2011年第11期61-72,共12页Review of Investment Studies

基　　金：国家自然科学基金(70572043);天津市科技发展战略研究计划项目(09ZLZLZT04500)

摘　　要：鲁棒跳跃的波动率估计是波动率研究的新方向。本文首先采用蒙特卡洛模拟技术检验鲁棒跳跃波动率估计量MedRV的有效性以及预测的准确性,结果表明:MedRV能够有效鲁棒跳跃行为,得到有效波动率(EV)的估计量,同时相对于双幂次变差(BV)有更好的预测准确性。然后基于MedRV估计量构造了市场一般性风险测度,并对中国证券市场一般性风险分布特征进行了研究,结果表明:基于MedRV估计量所得到的MedRV-VaR指标可以有效摒除极端市场风险因子,得到市场一般性风险测度。Jump-robust volatility estimating is the new research area of volatility. The paper studies validity and accuracy of forecasting of the MedRV estimator as the jump-robust volatility estimation method on the basis of simulated path using Monte Carlo method. The simulation results show that the MedRV estimator displays effective robustness to jumps and gets the effec- tive volatility and has better accuracy of volatility forecasting than the tri-power variation measure. Furthermore, we construct the measurement of the general risk based on the MedRV estimator to discuss the distribution characteristics in China Stock Market. The results indicate that the MedRV-VaR indicator can effectively reduce the extreme market risk factors and obtain the general risk of the market.

关 键 词：MedRV估计量 资产价格跳跃 ARFIMA VAR 

分 类 号：F224[经济管理—国民经济] F832.51