上海金融学院学报
上海金融學院學報
상해금융학원학보
JOURNAL OF SHANGHAI FINANCE COLLEGE
2015年
2期
84-90
,共7页
BSP-HAR-RV%最优频率选择%高频数据
BSP-HAR-RV%最優頻率選擇%高頻數據
BSP-HAR-RV%최우빈솔선택%고빈수거
BSP-HAR-RV model%optimal frequency selection%high frequency data
金融高频时间序列数量大、周期短、信息丰富,可以很好地反映金融市场特征。通过绘出平均双幂变差已实现波动率散点图(BiPowe realized volatility Signature Plot, BSP),建立BSP-HAR-RV模型,改进以往国内通过列举法选择最优频率的方法。最后对TCL集团股票价格的高频数据进行实证分析,验证模型结果,并将其在最优频率下得到的HAR-RV模型预测结果与以往广泛使用的5min、10min频率得到的结果进行比较,发现最优抽样频率下模型预测能力较好,具有可行性。
金融高頻時間序列數量大、週期短、信息豐富,可以很好地反映金融市場特徵。通過繪齣平均雙冪變差已實現波動率散點圖(BiPowe realized volatility Signature Plot, BSP),建立BSP-HAR-RV模型,改進以往國內通過列舉法選擇最優頻率的方法。最後對TCL集糰股票價格的高頻數據進行實證分析,驗證模型結果,併將其在最優頻率下得到的HAR-RV模型預測結果與以往廣汎使用的5min、10min頻率得到的結果進行比較,髮現最優抽樣頻率下模型預測能力較好,具有可行性。
금융고빈시간서렬수량대、주기단、신식봉부,가이흔호지반영금융시장특정。통과회출평균쌍멱변차이실현파동솔산점도(BiPowe realized volatility Signature Plot, BSP),건립BSP-HAR-RV모형,개진이왕국내통과열거법선택최우빈솔적방법。최후대TCL집단고표개격적고빈수거진행실증분석,험증모형결과,병장기재최우빈솔하득도적HAR-RV모형예측결과여이왕엄범사용적5min、10min빈솔득도적결과진행비교,발현최우추양빈솔하모형예측능력교호,구유가행성。
High-frequency time series can reflect the characteristics of financial markets more comprehensively because of large quantities , short cycles and abundant information. By drawing an average BiPower realized volatility Signature Plot (BSP) and setting up BSP - HAR - RV model, domestic optimal-frequency-selecting method is improved. Then an empirical analysis with the TCL stock price high-frequency data is done to verify the model. Furthermore, the predict ability of the BSP-HAR-RV model based on the optimal sampling frequency is better compared to that of the HAR-RV model based on 5-min- frequency and 10-min- frequency.