CAJ | 학술논문

文章分析了三种常用波动性衡量方法的特点。在此基础上讨论了多重指标波动性模型的具体形式。多重指标波动性联合估计模型是在倍乘误差模型基础上，综合考虑日间、日内波动以及已实现波动建立的一种联合预测模型。通过应用上证综指数据的实证结果表明，衡量波动性的不同方法间存在相互作用，多重指标波动性模型可以显著提高波动性的估计和预测精度。
문장분석료삼충상용파동성형량방법적특점。재차기출상토론료다중지표파동성모형적구체형식。다중지표파동성연합고계모형시재배승오차모형기출상，종합고필일간、일내파동이급이실현파동건립적일충연합예측모형。통과응용상증종지수거적실증결과표명，형량파동성적불동방법간존재상호작용，다중지표파동성모형가이현저제고파동성적고계화예측정도。
Based on three kinds of commonly used fluctuation measurement, this paper discusses the concrete torm of multiple index fluctuant model. The multiple index fluctuaut correlative estimation model is a kind of uniting forecast model, which is based on the multiplicative error model, with absolute daily returns, daily high-low range and daily realized fluctuation taken into consideration. After using the Shanghai stock markets data, the empirical results indicate that, there exist mutual effects between different methods to measure fluctuation, and the multiple index fluctuant model can remarkably increase the estimation and forecast accuracy of fluctuation.