已实现波动和赋权已实现波动的比较研究

已实现波动是针对高频金融时间序列的一种全新的波动度量方法，具有不需要模型和计算方便的优点。赋权已实现波动则对已实现波动进行了改进，是另一种更为有效的波动度量方法。本文从定义形式、无偏性、有效性、日历效应等方面对已实现波动和赋权已实现波动加以比较。通过对上海股票市场的实证研究，说明了赋权已实现波动是优于已实现波动的波动估计量。

Study on the Comparison Between Realized Volatility and Weighted Realized Volatility

Realized volatility is a new measure approach of volatility in high-frequency time series. Realized volatility is model-free and can be computed easily. Weighted realized volatility is a more efficient volatility measurement, which makes realized volatility become its special case. In this paper, we compare realized volatility and weighted realized volatility from four aspects, defnition, bias, efficiency and calendar effect. Through the empirical study on the Shanghai stock market, it proves weighted realized volatility is superior to realized volatility.