원문정보
초록
영어
Realized Volatility (RV) has been widely used since it was put forward. Some scholars put forward the improved form of RV aiming at better performance in describing the volatility. This paper select 2 main form of improvements: Adjusted Realized Volatility (ARV) and Weighted Realized Volatility (WRV) and make a comparison of RV, ARV and WRV of a contract of stock index of futures in China. Considering 3 methods are all non-negative, the MEM is a proper model. The empirical analysis includes 2 parts: one is statistical information, the other is modeling result. In the first part, the paper shows 4 kinds of statistics and the autocorrelation series; in the second part, the paper choose 3 possible distribution of stochastic error term and modeling MEM for RV, ARV and WRV. Then compare the significance of coefficients and likelihood value of different models.
목차
1. Introduction
2. The Basic Form of MEM
3. Realized Volatility
3.1. Definition of RV
3.2. The Character of RV
4. Adjusted Realized Volatility
4.1. The Measure Error of RV
4.2. Adjusted Realized Volatility
5. Weighted realized volatility
6. The Comparison of Statistical Information among RV, ARV and WRV
6.1. Data Description
6.2. Statistical Features of RV, ARV and WRV
6.3. The Autocorrelation of RV, ARV and WRV
6.4. The Summary of Statistical Information of RV, ARV and WRV
7. Modeling MEM for RV, ARV and WRV
7.1. The Distribution of Stochastic Error Terms
7.2. Modeling Result of RV, ARV and WRV
8. Conclusions
References