CAJ | 학술논문

随着高频数据可以越来越方便的获得，过去的ARCH模型及GARCH模型已经不能满足高频数据研究的需要。相比于模型波动率，已实现波动率能够更直接、准确地描述波动率的特征。研究表明，已实现波动率具有长记忆特性，其解释之一即为异质市场假说，即市场中存在异质交易者。文章选取了HAR—Rv模型对已实现波动率进行建模，并且通过回归分析，证明了我国股票市场交易者存在异质性。
수착고빈수거가이월래월방편적획득，과거적ARCH모형급GARCH모형이경불능만족고빈수거연구적수요。상비우모형파동솔，이실현파동솔능구경직접、준학지묘술파동솔적특정。연구표명，이실현파동솔구유장기억특성，기해석지일즉위이질시장가설，즉시장중존재이질교역자。문장선취료HAR—Rv모형대이실현파동솔진행건모，병차통과회귀분석，증명료아국고표시장교역자존재이질성。
Because of the convenient acquisition of high frequent data, the ARCH ＆ GARCH model cannot satisfy present research anymore. Compared to model volatility, realized volatility has many better characteristics. Some research shows that realized volatility has long memory. One of the possible reasons comes from the heterogeneous market hypothesis, which insists that there are heterogeneous traders in financial market. This paper chooses HAR-RV model in modeling realized volatility and proves that there are heterogeneous traders in Shanghai stock market.