基于符号价格极差的金融资产波动率预测研究
The application of signed range to forecasting the volatility of financial
查看参考文献55篇
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文摘
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从价格极差在补充波动率预测方面的优秀表现和收益率符号信息在资本市场的广泛运用出发,本文将价格极差与收益率符号结合起来,构建了符号价格极差这一影响因子,并加入到4个主流的HAR模型中.基于上证综指的5分钟高频交易数据的实证结果表明:符号价格极差短期内对未来波动率影响显著且具有“非对称性”,负(正)的符号价格极差导致未来波动率明显提高(降低);样本外预测结果显示,引入符号价格极差能够显著提高模型的预测能力且结果是稳健的,其中HAR-RSV-SR模型和HAR-Q-SR模型分别在对短期(1天)和中长期(5天和20天)的未来波动率预测中,表现出最高的预测精度.本文的结论对于波动率在资产定价和风险管理上的应用有着重要的参考价值. |
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其他语种文摘
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Due to the excellent performance of range in improving volatility forecast and the wide-spread use of information based on the sign of return in the capital market, this paper constructs the signed range by combining range and the sign of return and introduces it into four mainstream HAR models. The empirical results based on the 5-minute high-frequency trading data of the Shanghai Composite Index indicate that signed range has a significant "asymmetric" impact on future volatility in the short term, with negative (positive) signed range leading to significantly higher (lower) future volatility. The out-of-sample prediction results show that the introduction of singed range can significantly improve the model's predictive ability, and the results are robust. Last but not least, HAR-RSV-SR model and HAR-Q-SR model are the best models in short and medium and long horizons than others models discussed in this paper. The conclusion of this article has important reference value for the application of volatility in asset pricing and risk management. |
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来源
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系统工程理论与实践
,2021,41(9):2256-2270 【核心库】
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DOI
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10.12011/SETP2020-1181
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关键词
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波动率预测
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HAR-RV模型
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符号价格极差
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MCS检验
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地址
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湖南大学金融与统计学院, 长沙, 410006
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语种
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中文 |
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文献类型
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研究性论文 |
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ISSN
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1000-6788 |
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学科
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社会科学总论 |
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基金
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国家自然科学基金国际合作与交流项目
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湖南省社会科学基金
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文献收藏号
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CSCD:7066957
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参考文献 共
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