基于实际波动率的我国股市波动率实证研究

Empirical study on realized volatility and its related variants' properties

从上证180样本股中随机抽取30只股票,采用日内分钟交易数据,对实际波动率的部分性质进行实证研究,得出经实际波动率标准化的收益率序列接近于正态分布,对数实际波动率序列的分布近于正态,实际相关系数序列接近于正态分布,实际波动率序列、对数实际波动率及相关系数序列均具有显著的长记忆特征,不同股票的对数波动率序列之间具有显著的相关性。

This paper firstly reviews the development process of volatility theory, and then introduces the theory background of realized volatility and several foreign empirical conclusions. Then, an empirical study is performed using domestic data. Some conclusions are got as follows： the returns standardized by realized volatility is close to normal distribution ; the logarithmic realized volatility＇s distribution is close to normal; the realized correlations＇ distribution is close to normal; realized volatility, logarithmic realized volatility and realized correlation are all of long memory characteristic; the pertinence between different stocks＇ logarithmic realized volatility is prominent.