[1]肖 敏,李 灿,江 涛.隔夜波动率的估计[J].江西师范大学学报(自然科学版),2017,(03):271-274.
 XIAO Min,LI Can,JIANG Tao.The Estimation of the Overnight Volatility[J].,2017,(03):271-274.
点击复制

隔夜波动率的估计()
分享到:

《江西师范大学学报》(自然科学版)[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2017年03期
页码:
271-274
栏目:
出版日期:
2017-05-01

文章信息/Info

Title:
The Estimation of the Overnight Volatility
作者:
肖 敏李 灿江 涛
1.浙江工商大学统计与数学学院,浙江 杭州 310018; 2.湖南商学院数学与统计学院,湖南 长沙 410205
Author(s):
XIAO MinLI CanJIANG Tao
1.School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou Zhejiang 310018,China; 2.School of Mathematics and Statistics,Hunan University of Commerce,Changsha Hunan 410205,China
关键词:
隔夜波动率 广义动态因子模型 已实现波动率
Keywords:
overnight volatility generalized dynamic factor model realized volatility
分类号:
O 213.9; F 222.1
文献标志码:
A
摘要:
基于广义动态因子模型构建了个股隔夜波动率的一个新的估计量,并利用中国的上证50指数的24支成分股2013—2014年的数据进行了实证分析.实证结果表明:新估计量比隔夜收益的平方的表现更好,新的估计量可以降低噪声的影响.
Abstract:
A new estimation of overnight volatility of individual stock returns based on the generalized dynamic factor model is proposed.Using the data of 24 stocks of the Shanghai Stock Exchange 50 index,the overnight volatility level of them is studied.Empirical results show that the new estimation performs better than the squared overnight return and dose eliminate part of the noisy component.

参考文献/References:

[1] Andersen T G,Bollerslev T.Answering the skeptics:yes,standard volatility models do provide accurate forecasts [J].International Economic Review,1998,39(4):885-905.
[2] Cooper M J,Cliff M T,Gulen H.Return differences between trading and non-trading hours:like night and day [J/OL].New York:Social Science Electronic Publishing,2008.
[3] Kelly M A,Clark S P.Returns in trading versus non-trading hours:the difference is day and night [J].Journal of Asset Management,2011,12(2):132-145.
[4] Berkman H,Koch P D,Tuttle L A,et al.Paying attention:overnight returns and the hidden cost of buying at the open [J].Journal of Financial and Quantitative Analysis,2012,47(4):715-741.
[5] Lachance M E.Night trading:lower risk but higher returns? [J/OL].New York:Social Science Electronic Publishing,2015.
[6] Martens M.Measuring and forecasting S&P 500 index-futures volatility using high-frequency data [J].Journal of Futures Markets,2002,22(6):497-518.
[7] Hansen P R,Lunde A.A realized variance for the whole day based on intermittent high-frequency data [J].Journal of Financial Econometrics,2005,3(4):525-554.
[8] Bollerslev T,Zhou Hao.Expected stock returns and variance risk premia [J].Review of Financial Studies,2006,22(11):4463-4492.
[9] 马锋,魏宇,黄登仕,等.隔夜收益率能提高高频波动率模型的预测能力吗 [J].系统工程学报,2016,31(6):793-797.
[10] Andersen T G,Bollerslev T,Meddahi N.Realized volatility forecasting and market microstructure noise [J].Journal of Econometrics,2011,160(1):220-234.
[11] 孙洁.考虑跳跃和隔离波动的中国股票市场波动率建模与预测 [J].中国管理科学,2014,22(6):114-124.
[12] Lopez J A.Evaluating the predictive accuracy of volatility models [J].Journal of Forecasting,2001,20(2):87-109.
[13] Triacca U,Focker F.Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach [J].Decisions in Economics and Finance,2014,37(2):235-254.
[14] Chamberlain G,Rothschild M.Arbitrage,factor structure and mean-variance analysis on large asset markets [J].Econometrica,1983,51(5):1281-1304.
[15] Sargent T J,Sims C A.Business cycle modeling without pretending to have too much a priori economic theory [R].Series Working Papers with Nunmbre 55 of Federal Reserve Bank of Minncapolis,1977.
[16] Geweke J F.The dynamic factor analysis of economic time series [M].Amsterdam:North-Aolland,1977.
[17] Forni M,Hallin M,Lippi M,et al.The generalized dynamic-factor model:identification and estimation[J].Journal of the American Statistical Association,2007,102(478):603-617.
[18] Forni M,Lippi M.The generalized dynamic factor model:representation theory [J].Econometric Theory,2001,17(6):1113-1141.
[19] Abramowitr M,Stegun I A.Handbook of mathematical functions [M].New York:Dover Publications,1965.
[20] Hallin M,Lika R.Determining the number of factors in the general dynamic factor model [J].Journal of the American Statistical Association,2007,102(478):603-617.

备注/Memo

备注/Memo:
收稿日期:2017-01-15基金项目:国家自然科学基金(71671166)和浙江省高校人文社科重点研究基地(统计学)资助项目.通信作者:江 涛(1963-),男,安徽黄山人,教授,博士生导师,主要从事金融统计与保险精算方面研究.E-mail:jtao@263.net
更新日期/Last Update: 1900-01-01