加权已实现极差四次幂变差分析及其应用.pdfVIP

第 33 卷第 11 期 Vo 1. 33 , No.11 系统工程理论与实践 2013 年 11 月 Systems Engineering - Theory Practice Nov. , 2013 文章编号: 1000-6788(2013) 11-2766-10 中图分类号 F830 文献标志码 A 加权已实现极差四次幕变差分析及其应用 唐勇，刘微 (福州大学管理学院，福州 350108) 摘要针对金融高频数而开发的极差波动估计量因能更精确地度量波动率而备受关注.根据方差 有效性结合数值模拟，推导出了已实现极差多幕次变差族中最优的波动估计量，并依据无偏性和方 差有效性给出了相应的加权估计量.同时将这些估计量与已实现 GRACH 模型相结合，并对模型 进行扩展实证表明已实现极差四幕次变差是已实现极差多幕次变差族中最优的波动估计量，加权 的己实现极差四幕次变差能有效消除日历效应的影响，扩展的已实现 GRACH 模型在拟合和预测 效果土明显优于传统的 EGARCH 模型. 关键词已实现极差多幕次变差;日历效应;已实现 GARCH; 预期不足 Analysis of weighted realized range-based quadpower variation and its application TANG Yong , LIU 飞Nei (School of Management , Fuzhou University, Fuzhou 350108 , China) Abstract Rang• based volatility aiming at financial high-frequency data has attracted more and more attention for its more accurate estimation of financial assets volatility. The paper derives the optimal volatility estimator in the family of realized range-based multipower variation , according to variance effi- ciency with numerical simulation and it also gives its weighted estimator , according to unbiasedness and variance efficiency. Meanwhile , the paper expands the realized GARCH model under the condition that the realized GARCH model is combined with these estimators. The empirical analyses show that realized range-based quadpower variation is the optimal volatility estimator in the family of realized rang,• based multipower variation , the weighted realized range-based quadpower variation does get