考虑跳跃和杠杆效应的股市多分形波动率建模

doi:10.12068/j.issn.1005-3026.2020.04.024

东北大学学报:自然科学版 ›› 2020, Vol. 41 ›› Issue (4): 594-598.DOI: 10.12068/j.issn.1005-3026.2020.04.024

考虑跳跃和杠杆效应的股市多分形波动率建模

张同辉，苑莹，庄新田

(东北大学工商管理学院，辽宁沈阳110169)

收稿日期:2019-04-12 修回日期:2019-04-12 出版日期:2020-04-15 发布日期:2020-04-17
通讯作者: 张同辉
作者简介:张同辉(1989-)，男，山东烟台人，东北大学博士研究生；苑莹(1980-)，女，辽宁沈阳人，东北大学教授，博士生导师；庄新田(1956-)，男，吉林四平人，东北大学教授，博士生导师.
基金资助:
国家自然科学基金资助项目(71671030)；国家社会科学基金资助项目(18BJY238)；教育部人文社会科学基金资助项目(17YJCZH235)；中央高校基本科研业务费专项资金资助项目(N170606003，N180606001，N180614002).

Multifractal Volatility Modeling of Stock Market Considering Jumps and Leverage Effects

ZHANG Tong-hui， YUAN Ying， ZHUANG Xin-tian

School of Business Administration， Northeastern University， Shenyang 110169， China.

Received:2019-04-12 Revised:2019-04-12 Online:2020-04-15 Published:2020-04-17
Contact: YUAN Ying
About author:-
Supported by:
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摘要/Abstract

摘要： 考虑股票市场中存在的跳跃行为和杠杆效应等特征，在HAR模型基础上，构建了一种新的多分形波动率模型.以上证指数和深证成指每5min高频数据为研究样本，运用“模型信度设定”(MCS)检验方法，实证对比了各波动率模型在高波动和低波动两个子样本期对我国股市的预测能力.实证研究结果表明，所提出的多分形波动率测度指标及其计量模型具有较好的预测作用，特别是在高(极端)波动时期其优势更为突出；研究结果有望为金融风险(特别是极端风险)的管理与控制提供新思路与新方法.

关键词: 多分形波动率, 已实现波动率, 跳跃, 杠杆效应, 高频波动率模型

Abstract: Considering the jumping behaviors and leverage effects in the stock market， a new multifractal volatility model was constructed based on the HAR model. Taking 5min high-frequency data of Shanghai composite index and Shenzhen component index as the research samples and using the test method of “model confidence set”(MCS)， the prediction ability of each volatility model to China’s stock market in the two sub-samples of high volatility and low volatility was empirically compared. The results showed that the proposed multifractal volatility measure index and its measurement model have a good predictive function， especially in the period of high(extreme) volatility. The results are expected to provide new ideas and methods for the management and control of financial risks， in particular extreme risks.

Key words: multifractal volatility, realized volatility, jump, leverage effect, high-frequency volatility model

中图分类号:

F830.91

张同辉，苑莹，庄新田. 考虑跳跃和杠杆效应的股市多分形波动率建模[J]. 东北大学学报:自然科学版, 2020, 41(4): 594-598.

ZHANG Tong-hui， YUAN Ying， ZHUANG Xin-tian. Multifractal Volatility Modeling of Stock Market Considering Jumps and Leverage Effects[J]. Journal of Northeastern University Natural Science, 2020, 41(4): 594-598.

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考虑跳跃和杠杆效应的股市多分形波动率建模

Multifractal Volatility Modeling of Stock Market Considering Jumps and Leverage Effects

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