多重指标波动性模型在中国股市波动性估计和预测的应用--基于高频数据的研究

Application of Multiple Index Fluctuant Model into the Estimation and Forecast towards Chinese Stock Market's Fluctuation

文章分析了三种常用波动性衡量方法的特点,在此基础上讨论了多重指标波动性模型的具体形式。多重指标波动性联合估计模型是在倍乘误差模型基础上,综合考虑日间、日内波动以及已实现波动建立的一种联合预测模型。通过应用上证综指数据的实证结果表明,衡量波动性的不同方法间存在相互作用,多重指标波动性模型可以显著提高波动性的估计和预测精度。

Based on three kinds of commonly used fluctuation measurement, this paper discusses the concrete torm of multiple index fluctuant model. The multiple index fluctuaut correlative estimation model is a kind of uniting forecast model, which is based on the multiplicative error model, with absolute daily returns, daily high-low range and daily realized fluctuation taken into consideration. After using the Shanghai stock markets data, the empirical results indicate that, there exist mutual effects between different methods to measure fluctuation, and the multiple index fluctuant model can remarkably increase the estimation and forecast accuracy of fluctuation.