我国金融数据高频收益率波动结构突变的检测研究.docVIP

我国金融数据高频收益率波动结构突变的检测研究 #50#5数量经济技术经济研究62011年第7期我国金融数据高频收益率波动结构突变的检测研究张 虎 李 玮 郁婷婷(中南财经政法大学统计与数学学院)=????gt;本文基于Lavielle和Teyssi??re(2005)提出的惩罚对照函数,对我国上证综指自2005年7月1日至2010年6月30日的5分钟收益率序列,及其/已实现0波动进行波动结构变点检测,结果发现有两个结构变点b针对这两个结构变点,本文采用了HAR-RV-J模型对其/已实现0波动进行分段建模,研究不同期限的投资者对股市波动的影响作用b实证分析的结果表明结构突变发生的时间均能与相应的重大经济事件相对应,而且随着时间的推移,短期投资者对股市波动的影响逐渐加大b?????? 高频时间序列 结构突变 惩罚对照函数 HAR-RV-J模型?????????? F22410 ?????????? ADetectionResearchontheStructuralBreaksoftheVolatilityofFinancialDataHigh-frequencyReturnsinChina Abstract:ThispaperusesthepenalizedcontrastfunctionproposedbyLavielleamp;Teyssi??re(2005)todetectthestructuralbreakpointsofthe5-minutereturnsse-striesanditsrealizedvolatilityofChineseSSECompositeIndexfromJuly1,2005toJune30th,20101Asaresult,wefind2structuralbreakpoints1Forthese2breakpoints,weuseHAR-RV-Jmodelpiecewisefortherealizedvolatility,andstudytheeffectsofdifferentperiodinvestmenttothemarketfluctuation1Theresultofempiricalstudyshowsthateachdateofthebreakpointcorrespondstosomeim-portanteconomicevents1Furthermore,theeffectsoftheshort-terminvestorstothemarketfluctuationsisgrowingstrongerovertime1Keywords:High-frequencyTimeSeries;StructuralBreaks;PenalizedCon-trastFunction;HAR-RV-JModel 我国金融数据高频收益率波动结构突变的检测研究#51#?? ????????????,??????????????????????????????????????????????,??????????????????э??????????4,????,??????4??????????????????????????????????b??????????,????????4????????4??????????????????????????????)))/??????0????(RealizedVolatility,RV)b/??????0????????????????????????????????????,??????????????????????,??????GARCH??????SV??????б??????????????????????????????bAndersen,Bollerslev,Diebold??Labys(2000a2001a2003)??Andersen,Boller-slev,Diebold??Ebens(2001)??????4????4,??4??????4/??????0????????4??4????bAndersen,Bollerslev,Diebold??Labys(2003)????/??????0??????????????????????????????????bCorsi(2004)????????????????????????????,??????4????????????4????????????????????????HAR-RV(HeterogeneousAutoregressive-RealizedVolatility)????,??????????4????????????????????????????/