CAJ | 학술논문

运用2000年1月4日至2008年12月31日上证综指每5分钟的高频金融数据，采用核估计量估计中国股市高频波动率序列，运用修正的已实现门阀多次幂变差估计中国股市高频波动率的跳跃序列，实证分析中国股市高频波动率跳跃的各种特征，并运用ACD模型、ACH模型以及扩展的ACH模型进一步分析中国股市高频波动率跳跃的持续期的特征。研究结果表明，中国股市高频波动率及其跳跃都具有集聚的特征，高频波动率发生显著跳跃的比例相当高，高频波动率跳跃的幅度、强度和跳跃幅度的分布都具有时变性，而跳跃对高频波动率的贡献却具有相对稳定性；在样本期，中国股市高频波动率跳跃表现出较强的正相关性，且跳跃的持续期存在较强的长记忆性和周日历效应。
운용2000년1월4일지2008년12월31일상증종지매5분종적고빈금융수거，채용핵고계량고계중국고시고빈파동솔서렬，운용수정적이실현문벌다차멱변차고계중국고시고빈파동솔적도약서렬，실증분석중국고시고빈파동솔도약적각충특정，병운용ACD모형、ACH모형이급확전적ACH모형진일보분석중국고시고빈파동솔도약적지속기적특정。연구결과표명，중국고시고빈파동솔급기도약도구유집취적특정，고빈파동솔발생현저도약적비례상당고，고빈파동솔도약적폭도、강도화도약폭도적분포도구유시변성，이도약대고빈파동솔적공헌각구유상대은정성；재양본기，중국고시고빈파동솔도약표현출교강적정상관성，차도약적지속기존재교강적장기억성화주일력효응。
Based on the every 5 minutes high-frequency financial data of SSEC from 2000 to 2008. We utilized kernel-based estimator to estimate the high-frequency volatility, and corrected realized threshold muhipower variation（ C_TMPV ）to investigate the jump dynamics of volatility and the ACD model and the ACH model to analyze the features of jump duration. The results that both show the volatility and jump have agglomeration effect, the proportion of the trade day with the volatility jump is very high, and the size, the intensity and distribution of jumps in Chinese stock market are time-varying, but the jump＇s contribution to high-frequency volatility is relatively stable. In addition, during our analytical term of sample, the jumps of high-frequency volatility exhibit strong positive correlations, and the jump durations have the long term memory and weekday calendar effects.