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以上证综指长达6年时间的5分钟高频数据为实证样本,首先提出了一种基于多分形谱(Multifractal spectrum)分析的市场波动率测度方法(Volatility measurement),并进一步探讨了其在市场风险价值(VaR)计算中的模型设计和应用.实证结果表明:我国新兴资本市场的价格波动确实具有显著的多分形特性,且与各类线性和非线性GARCH族模型相比,在高风险水平上,基于多分形波动率测度的VaR模型具有更高的风险测度精度.
Taking the 5-minute high-frequency data of the Shanghai Composite Index for up to 6 years as an empirical sample, a Volatility measurement based on the Multifractal spectrum analysis was first proposed and further discussed The model design and application in the calculation of market VaR (VaR) show that the price volatility in the emerging capital markets of our country does have significant multifractal characteristics. Compared with various linear and nonlinear GARCH models, In level, the VaR model based on the multi-fractal volatility measure has higher risk measurement accuracy.