金融市场波动测量方法新进展

文章阐述了“已实现”波动的研究进展 ,针对ARCH类、SV类等主流波动模型实际应用中存在的问题 ,从理论上阐述了如何解决维数“灾难”、参数估计等问题。着重介绍了“已实现”波动、“已实现”协方差的构建以及与积分波动、积分扩散阵之间的关系 ,和国外实证研究的成果 ,同时又介绍了用“已实现”波动的测量方法构建的一些模型 ,并指出了“已实现”波动正在进行的应用领域和发展前景。

Review on the Progress of Measuring Method of Financial Market Volatility

This paper reviews the progress of measuring method, and expounds, from the oretical point of view, how to solve the problems, such as curse-of-dimension ality, parameter evaluation, etc, aiming at the limits of mainstream volatility models, such as ARCH family and SV family, in practice. The constructions of re alized variance and realized co-variance, relations between them and integrated volatility&integrated diffusion matrix, empirical results from the foreign, are presented emphatically. Simultaneously, modeling by virtue of realized volatil ity is also recommended and being applied fields via realized volatility &future are pointed out.