多重信息维度下金融市场风险的高频计量——基于超高频数据ACD模型和UHF-GARCH模型  

Financial Market Risk Measurement Using UHF Data under Multiple Dimensions Information——Based on UHF ACD Model and UHF-GARCH Model

作　　者：苗晓宇[1,2] 

机构地区：[1]厦门国际银行博士后工作站,福建厦门361001 [2]厦门大学博士后流动站,福建厦门361005

出　　处：《广西财经学院学报》2012年第3期70-75,共6页Journal of Guangxi University of Finance and Economics

摘　　要：超高频数据是交易的实时记录,是所有信息在股市上的最精确的表现。考虑使用高频数据来测度金融风险无疑能够提高风险测度的准确性。本文在现有研究成果的基础上,将交易者行为特征、交易量、买卖价差、交易速度等信息维度纳入金融高频风险的计量中,并与没有考虑这些信息维度时测度的准确性进行对比,结果表明,考虑多重信息维度的模型能够更准确地测度金融市场风险。UHF data are real-time trading records and the most accurate performance of all information in the stock market. Using high-frequency data to measure the financial risks can undoubtedly improve the accuracy of risk measurement. This pa- per, based on the results of existing research, brings the behavioral charactefistcs of traders, trading volume, bid-ask spread, transaction speed and other information dimension into the risk measurement model, and compares the accuracy of measurement with the model without considering such information dimensions. The results confirm that the model considered multiple dimensions of information can be more accurate for measuring financial market risk.

关 键 词：高频数据 多重信息维度 风险价值 

分 类 号：F830.91[经济管理—金融学]