CAJ | 학술논문

金融衍生品定价、金融风险管理以及投资组合选择中的一个非常重要的关键环节是金融波动率的估计与预测。随着金融高频数据的广泛收集，已实现高频波动率的方法开始成为研究热点，这在很大程度上扩展了金融波动率的估计与预测研究。本文主要从已实现高频波动率的估计及其预测模型的预测精度评价比较这两个方面对主要学术文献的研究成果进行综述，期望对这一主题进一步的研究提供线索。
금융연생품정개、금융풍험관리이급투자조합선택중적일개비상중요적관건배절시금융파동솔적고계여예측。수착금융고빈수거적엄범수집，이실현고빈파동솔적방법개시성위연구열점，저재흔대정도상확전료금융파동솔적고계여예측연구。본문주요종이실현고빈파동솔적고계급기예측모형적예측정도평개비교저량개방면대주요학술문헌적연구성과진행종술，기망대저일주제진일보적연구제공선색。
The estimation and prediction for financial volatility is a very important core part of financial derivatives pricing, financial risk management and portfolio selection. With a wide range using of high-frequency financial data, the method of realized high-frequency volatility became popular, which expand the research for the financial asset returns volatility estimation and prediction greatly. In order to provide clear clues for future in-depth study on the estimation and prediction for financial volatility under high-frequency environment, this paper reviews the literatures in two aspects which are the high-frequency estimations for financial volatility and evaluation of its prediction Models.