股票日内交易数据特征和波幅的分析.PDFVIP

　　统计研究 2001 年第 4 期 　　　　　　　　　　　 36 Statistical Research No. 4 　 2001 股票日内交易数据特征和波幅的分析 刘　勤　顾　岚 ABSTRACT 　　The intraday periodicity in the returns volatility in China stock markets is shown to have a strong impact on the dynaminc properties of high frequency returns , the periodic modelling pro cedure developed in this paper provides a framework and gives so