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高频数据中的噪声和价格跳跃使得波动的估计缺乏一致性,本文提出用门限预平均实现波动的方法估计同时存在市场微观结构噪声和价格跳跃时高频价格波动,该方法是资产价格实际波动的一致估计,并有最优的收敛速度。模拟发现,门限预平均实现波动和常用的高频波动估计方法相比,有更小的均方误差。中国证券市场的实证分析表明,门限预平均实现波动能减少波动预测误差,得到更为精确的风险管理价值。
In this paper, the method of threshold pre-average volatility is proposed to estimate the high-frequency price fluctuations in the presence of market micro-structural noise and price jumps. This method is the actual fluctuation of asset prices Consistent estimates, and have the best convergence rate. The simulation shows that the average threshold pre-volatility is smaller than the commonly used high-frequency fluctuation estimation method. The empirical analysis of China’s securities market shows that the pre-average volatility threshold can reduce the volatility forecast error and obtain more accurate risk management value.