【摘要】：魯棒跳躍的波動(dòng)率估計(jì)是波動(dòng)率研究的新方向。本文首先采用蒙特卡洛模擬技術(shù)檢驗(yàn)魯棒跳躍波動(dòng)率估計(jì)量MedRV的有效性以及預(yù)測(cè)的準(zhǔn)確性,結(jié)果表明:MedRV能夠有效魯棒跳躍行為,得到有效波動(dòng)率(EV)的估計(jì)量,同時(shí)相對(duì)于雙冪次變差(BV)有更好的預(yù)測(cè)準(zhǔn)確性。然后基于MedRV估計(jì)量構(gòu)造了市場(chǎng)一般性風(fēng)險(xiǎn)測(cè)度,并對(duì)中國(guó)證券市場(chǎng)一般性風(fēng)險(xiǎn)分布特征進(jìn)行了研究,結(jié)果表明:基于MedRV估計(jì)量所得到的MedRV-VaR指標(biāo)可以有效摒除極端市場(chǎng)風(fēng)險(xiǎn)因子,得到市場(chǎng)一般性風(fēng)險(xiǎn)測(cè)度。
[Abstract]:The volatility estimation of robust jump is a new direction of volatility research. In this paper, Monte Carlo simulation technique is used to test the validity of robust jump volatility estimator (MedRV) and the accuracy of prediction. The results show that: MedRV can effectively robust jump behavior and obtain the estimate of effective volatility (EV). At the same time, the prediction accuracy of (BV) is better than that of (BV). Then the general risk measure is constructed based on MedRV estimator, and the characteristics of general risk distribution in Chinese stock market are studied. The results show that the MedRV-VaR index based on MedRV estimator can effectively exclude the extreme market risk factors. Get the market general risk measurement.
【作者單位】： 天津大學(xué)管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金(70572043) 天津市科技發(fā)展戰(zhàn)略研究計(jì)劃項(xiàng)目(09ZLZLZT04500)
【分類號(hào)】：F224;F832.51
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本文編號(hào)：2234876