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在高频数据条件下,中国ETF基金价格“已实现”波动率与跟踪误差之间是否存在着因果关系并存在着信息的先导效应?基于“已实现”波动、跟踪误差计算方法及Granger因果检验过程、VAR模型等,本文对此进行了深入研究。研究结果认为:中国ETF基金价格“已实现”波动率与两种跟踪误差分别具有Granger因果关系,后者是前者的Granger原因;中国ETF基金价格“已实现”波动率序列与两种跟踪误差序列的同期及一、二阶滞后相关性较高,而跟踪误差滞后于“已实现”波动率;当ETF基金的跟踪误差受外部市场条件的某一冲击后,将给ETF基金价格“已实现”波动率带来同向的冲击,这一冲击具有一定的持续性和滞后性。
Under the conditions of high-frequency data, is there any causal relationship between volatility and tracking error of China ETF fund “realized ” and there is information leading effect? Based on “realized ” fluctuations, tracking error calculation method And Granger causality test process, VAR model, etc., this article has carried on the thorough research. The result shows that: the volatility of ETF funds in China and the two tracking errors have Granger causality respectively, the former is Granger reason; the volatility of ETF funds in China and “realized” The tracking error sequence of the same period and the second and second lags correlation is high, and the tracking error lags behind the “realized” volatility; when the tracking error of ETF funds by external market conditions, an impact will give the ETF Fund prices “realized ” volatility brought the impact of the same direction, the impact of a certain degree of continuity and lag.