摘要
目前国内学者利用年、月等低频数据对股票市场的波动率进行了很多的研究,但以日内高频数据为基础的研究还不多见。本文借鉴国外文献,提出用已实现流动率(realizedvolatility)对日内波动率进行估计,同时重点对不同行业股票的日内波动率差异进行实证研究和原因分析。
It is valuable to research on the inner-day volat ility with high frequency data.This paper puts forward the idea that the inner-day volatility can be estinated by realized volatility.At the same time ,t his qaqer researches particularly on Volatility difference among industries and its reason.
出处
《北京市财贸管理干部学院学报》
2004年第1期42-44,共3页
Journal of Beijing Institute of Finance and Commerce Management
