跳跃的估计、股市波动率的预测以及预测精度评价  

Jump Estimation,Stock Market Volatility Forecasting and Prediction Accuracy Evaluation

作　　者：杨科[1] 田凤平[2] 林洪[3] 

机构地区：[1]华南农业大学经济管理学院,广东广州510642 [2]中山大学国际商学院,广东广州510275 [3]广东商学院,广东广州510320

出　　处：《中国管理科学》2013年第3期50-60,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70971143;71203067);华南农业大学经济管理学院"211工程"青年项目(2012211QN03);中国博士后科学基金(2011M500134);广东省哲学社会科学规划项目(GD11YLJ01);中山大学青年教师起步资助计划(41000-3181404);2011年度中山大学人文社会科学青年教师桐山基金资助项目;广东省高等学校高层次人才项目;中山大学985工程三期建设项目金融创新与区域发展研究创新基地

摘　　要：本文基于C_TMPV理论估计已实现波动率的跳跃成分,在此基础上构建考虑跳跃的AHAR-RV-CJ模型和MIDAS-RV-CJ模型来预测中国股市的已实现波动率,并评价和比较各类波动率模型的预测精度。实证结果表明:基于C_TMPV估计的波动率跳跃成分对日、周以及月波动率的预测有显著的正向影响;AHAR-RV-CJ模型和MIDAS-RV-CJ模型的样本内和样本外预测精度在不同的预测时域上都是最高的,尤其是对数形式的模型;MI-DAS族模型的样本外预测精度在中长期预测时域上比HAR族模型高;AHAR-RV-CJ模型和MIDAS-RV-CJ模型的样本外预测能力在中长期预测时域上比基于低频数据的Jump-GARCH模型、SV-CJ模型和SV-IJ模型好。Based on the theory of corrected realized threshold multipower variation（C_TMPV）, the jump components of the realized volatility are estimated, and two newly developed realized volatility model allo- wing for jump, the AHAR-RV-CJ model and MIDAS-RV-CJ model, are proposed to predict realized vola- tility of Chinese Stock Markets. The forecast accuracies of several volatility models are also evaluated and compared. Our findings demonstrate that the jump components of the realized volatility estimated by C_ TMPV have positive and significant impacts on daily, weekly and monthly volatility prediction, and the AHAR-RV-CJ model and MIDAS-RV-CJ models with the continuous and jump components of the volatili- ty are the best models for future volatility prediction in different prediction horizons. These results hold up for both the in-sample and out-of-sample forecasts, especially the logarithmic models. It is also found that the out-of-sample forecasting performance of MIDAS model is better than HAR model with the same re- gressor and the out-of-sample predictive power of AHAR-RV-CJ and MIDAS-RV-CJ models is better than Jump-GARCH, SV-CJ and SV-IJ models in the medium and long prediction horizons.

关 键 词：波动率预测 已实现波动率 C—TMPV MIDAS模型 SPA检验 

分 类 号：F830[经济管理—金融学] F064.1