CAJ | 학술논문

利用极大重叠离散小波变换方法对资产收益的积分波动率进行估计。针对沪深300指数选取不同小波函数估计积分波动率，计算相对误差统计量。结果表明，不同小波函数对积分波动率估计不存在显著差异，但随着抽样频率的增加，估计精度逐渐提高。对尺度及其相应尺度下的波动率进行对数变换可见，二者之间存在显著的线性关系，随着尺度的增加，波动率逐渐变小。
이용겁대중첩리산소파변환방법대자산수익적적분파동솔진행고계。침대호심300지수선취불동소파함수고계적분파동솔，계산상대오차통계량。결과표명，불동소파함수대적분파동솔고계불존재현저차이，단수착추양빈솔적증가，고계정도축점제고。대척도급기상응척도하적파동솔진행대수변환가견，이자지간존재현저적선성관계，수착척도적증가，파동솔축점변소。
Integrated volatility of asset return was estimated by means of maximum overlap discrete wavelet transform.The different wavelet functions were chosen to estimate the integrated volatility of Shanghai and Shenzhen 300 indices,and relative error statistics was calculated.The results show that integrated volatilities based on different wavelets had no significant difference.The estimated accuracy was improved with the increasing of sampling frequency.There was an obvious linear relationship between logarithmic scale and logarithmic volatility.The volatility decreasd gradually with the scale increasing.