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In this paper, we studies the distributional properties of volatility based on the stock market of China and their implications for asset allocation, risk management and assct pricing.In particular, the focus is on realized volatility estimated from high frequency intraday returns and returns standardized by realized volatility.Returns standardized by realized volatility are approximately normal as is logarithmic real ized volatility.Based on the statistical distribution analysis, time series forecasting models for logarithmic realized volatility are estimated and evaluated.