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基于中国隐含波动率和方差溢价的实证研究 被引量:5

The Empirical Study of Chinese Implied Volatility and Variance Premium
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摘要 隐含波动率在资本市场中发挥着重要作用,本文使用二次幂变差方法,首次就我国股市的隐含波动率指数及其方差溢价对股市收益和宏观经济活动的预测能力进行实证分析。研究发现:隐含波动率的增加会加剧市场波动风险;方差的连续部分和跳跃部分对未来的实现方差具有显著的正向影响;相对于周收益,方差溢价和波动率指数对月度收益的预测能力更强;隐含波动率指数和方差溢价目前无法对我国宏观经济活动起到预测作用。研究结论为进一步分析我国证券市场的风险偏好提供了经验证据。 VIX had the important function in capital market. The paper used the Chinese implied volatility to calculate the variance risk premium which bipower variation method is used,and we predict the stock market returns and macroeconomic activity with them. The main findings are: the increasing VIX would exacerbate the risk of market volatility; the continuous sections and jump sections of the variance have significant influence on the future realized variance; compared to weekly returns monthly returns are easy to be forecasted with variance premium and VIX; Chinese VIX and variance premium have no predictability for Chinese macro economic activities. The conclusions provide empirical analysis for risk appetites in Chinese securities market.
作者 李蒲江 郭彦峰 Li Pujiang,Guo Yanfeng
出处 《统计研究》 CSSCI 北大核心 2017年第10期77-87,共11页 Statistical Research
关键词 实现方差 隐含波动率 方差溢价 预测作用 Realized Variance VIX Variance Risk Premium Predictability
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