中国认股权证波动过程长期记忆性的实证研究

An Empirical Research on Long Memory of Volatility Process of Chinese Warrants

已有研究结果表明金融市场波动过程具有显著的长期记忆性。为帮助投资者规避和控制风险,有必要探讨我国证券市场创新品种——认股权证——市场波动过程的长期记忆性。对宝钢JTB1 5分钟高频收益和波动序列的长期记忆性进行参数和半参数估计,其结果表明:宝钢JTB1的收益序列长期记忆性程度比较小,而波动序列则存在显著的长期记忆性。

Previous studies indicate that the volatility process of financial market has a distinctive long memory. In order to help investors avoid and control risks, it is necessary to explore the long memory of the volatility process of warrants, a new variety in China＇s stock market. The paper was targeted at Baosteel JTB1 and conducted both a parametric and semi-parametric analysis of the long memory of its 5-minute high frequency return and volatility sequence. The results indicate that the return sequence has a weak long memory but the volatility sequence displays an evident long memory.