渭南师范学院学报2016，Vol.31Issue(19)：75-80,6.
沪深300股指期货极差波动率的分布特征和长记忆性分析--基于频域的检验方法
Distributional Property of Range Volatility of Index Future and Its Long Memory Analysis
摘要
Abstract
Current research focuses mostly on? price discovery function of Hushen 300 index future and rarely involves its range volatility.Based on daily data of hushen 300 index future in recent five years, this paper models the volatility of hushen 300 index fu⁃ture by range volatility and analysis its distributional property. Testing whether range volatility is a true long memory process by a test based on frequency and using GPH and local Whittle to estimate memory parameter of range volatility. The study shows that skewness and kurtosis of range volatility are 0.193 and 2.919, and its autocorrelation decays slowly and displays long-memory effects; range volatility is true long memory process by frequency test under different band parameter;memory parameter of range volatility approxi⁃mates typical value 0.4. On this basis it can be used to forecast volatility.关键词
沪深300股指期货/极差波动率/真实长记忆/GP H/局部WhittleKey words
hushen 300 index future/range volatility/true long memory/GPH/local Whittle分类
管理科学引用本文复制引用
李艳,吴亮..沪深300股指期货极差波动率的分布特征和长记忆性分析--基于频域的检验方法[J].渭南师范学院学报,2016,31(19):75-80,6.基金项目
国家自然科学基金重点项目面板数据建模的理论与方法（71131008／G0113）；教育部人文社会科学研究一般项目空间似无关回归模型参数估计、设定检验及其应用（13YJC910003）；全国统计科研计划项目阈值分位数自回归模型估计、检验与应用（2013LY044）；阜阳师范学院人文社科研究项目转型期高师院校辅导员专业素质研究---以某转型期师范院校为例 （）
