基于Edgeworth展开的已实现波动率校正  

Realized Volatility Correction Based on Edgeworth Expansion

作　　者：魏正元 余愈灿 Wei Zhengyuan;Yu Yucan(Department of Statistics,Chongqing University of Technology,Chongqing 400054)

机构地区：[1]重庆理工大学理学院,重庆400054

出　　处：《现代工业经济和信息化》2020年第4期12-15,共4页Modern Industrial Economy and Informationization

基　　金：重庆市自然科学基金面上项目(cstc2019jcyj-msxmX0386)。

摘　　要：借助Edgeworth渐近展开技术,研究了具有显著舍入误差效应的金融数据的波动率估计问题,探究了估计量的统计性质,构建了波动率的置信区间。随机模拟结果表明,该研究的波动率估计量与传统的已实现波动率估计量相比,更能反映修正舍入误差效应的影响,置信区间的优良性也得到了一定程度的改善。Based on the Edgeworth asymptotic expansion technique, this paper studied the volatility estimation of financial data with significant rounding error effects, explored the statistical properties of estimators, and constructed a confidence interval for volatility. The stochastic simulation results show that volatility estimator given in this paper can better reflect the influence of corrected rounding error effect than the traditional realized volatility estimator, and the advantages of confidence interval are also improved to a certain extent.

关 键 词：舍入误差 已实现波动率 EDGEWORTH展开 置信区间 

分 类 号：O212.1[理学—概率论与数理统计]