基于多分形波动率测度的ES风险度量被引量：13

Excepted Shortfall Estimation Based on Multifractal Volatility

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摘要多分形波动率(Multifractal Volatility,MFV)是一种最近提出的金融市场波动率测度方法。以上证综指和标准普尔500指数的高频价格数据为例,构造了多分形波动率测度的lnMFV-ARMA动力学模型,并运用基于Bootstrap方法的后验分析过程,实证对比了lnMFV-ARMA模型与其他6种常用波动模型对ES(Excepted Shortfall)风险测度的估计精度差异。实证结果表明:在所考察的大多数分位数水平下,lnMFV-ARMA模型对ES风险测度的估计精度都优于许多现有常用波动模型,特别是对标准普尔500指数的极端价格波动风险具有最优的刻画能力。 Multifractal Volatility（MFV） is a recently proposed volatility measurement.We take the high-frequency datasets of SSEC and SP500 as sample and construct an lnMFV-ARMA model to estimate excepted shortfall.We further compare lnMFV-ARMA model with other volatility models based on the ES estimation precision.Empirical results show that model based on multifractal volatility performs better than many GARCH models and lnMFV-ARMA performs best in ES estimation to SP500 index.

作者王鹏魏宇

机构地区西南财经大学金融学院西南交通大学经济管理学院

出处《系统管理学报》 CSSCI 2012年第2期192-200,共9页 Journal of Systems & Management

基金国家自然科学基金资助项目(71071131 71101119) 教育部新世纪优秀人才支持计划(NCET-08-0826) 西南财经在211工程三期青年教师成长项目第二批(211QN10110)

关键词多分形波动率 ARMA模型 ES 风险度量 multifractal volatility ARMA model excepted shortfall risk measurement

分类号 F224 [经济管理—国民经济] F830 [经济管理—金融学]

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1胡雪明,宋学锋.深沪股票市场的多重分形分析[J].数量经济技术经济研究,2003,20(8):124-127. 被引量：41
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