北京师范大学学报（自然科学版）2009，Vol.45Issue(3)：319-322,4.
中国股市波动测度实证研究
EMPIRICAL VOLATILITY MEASUREMENT OF THE CHINESE STOCK MARKET
摘要
Abstract
A non-parameter and comprehensive volatility measurement method based on realized rangebased volatility is presented to describe volatility dynamics. According to the theory of mixed data sampling (MIDAS), the comprehensive measurement method can be found by multiple regression analysis and highfrequency data at different frequencies. Through empirical analysis of Chinese Stock Market index, it is confirmed that the comprehensive measurement method is a better way to describe volatility of high-frequency关键词
已实现极差波动/MIDAS模型/波动测度Key words
realized range-based volatility/ MIDAS model/ volatility measure分类
管理科学引用本文复制引用
陆利桓,李汉东..中国股市波动测度实证研究[J].北京师范大学学报（自然科学版）,2009,45(3):319-322,4.基金项目
国家自然科学基金资助项目(70771012) （70771012）
