摘要
本文论述了迄今国际文献中关于波动率度量模型的主要理论和实证结果,概括了度量事前预期波动率的参数模型(包括离散模型和连续模型)和度量事后实际波动率的非参数模型(包括ARCH滤波和平滑子模型和“已实现”波动率模型)的特点及统计推断性质,比较了模型之间的优劣之处,展望了波动率度量模型的未来研究趋势。
The paper reviews all main theories and empirical research of volatility measurement models in intemational literatures. It surveys the characteristic and statistical inference of parametric procedures that focused on ex-ante expected volatility （including discrete and continuous-time models） and nonparametric procedures that focused on ex-post actual volatility （including ARCH filters, smoothers models and realized volatility models ）. Advantages and disadvantages are also compared among these models. At last, the paper discusses the directions of future research.
