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高频数据波动率小波估计方法的比较 被引量:3

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摘要 文章利用上证综指高频分钟交易数据,研究基于极大重叠离散小波变换的积分波动率,并选用4种小波函数考察其对积分波动率小波估计的影响,与实际波动率进行对比。实证分析表明,实际波动率大于小波估计值,当频率较高时,两种估计方法误差小。特别地,在5分钟采样频率时,两种估计方法最接近,并且小波方法估计积分波动率对选取的小波函数无明显差异。
出处 《统计与决策》 CSSCI 北大核心 2018年第7期89-91,共3页 Statistics & Decision
基金 国家自然科学基金资助项目(11501015)
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