高频波动率矩阵估计的比较分析——基于有噪非同步的金融数据

doi:10.16381/j.cnki.issn1003-207x.2015.10.003

中国管理科学 ›› 2015, Vol. 23 ›› Issue (10): 19-29.doi: 10.16381/j.cnki.issn1003-207x.2015.10.003

高频波动率矩阵估计的比较分析——基于有噪非同步的金融数据

赵树然¹, 姜亚萍¹, 任培民²

1. 中国海洋大学经济学院金融系, 山东青岛 266100;
2. 青岛大学经济学院金融系, 山东青岛 266071

收稿日期:2014-03-03 修回日期:2015-01-06 出版日期:2015-10-20 发布日期:2015-10-24
作者简介:赵树然(1978-),女(汉族),湖南人,中国海洋大学经济学院副教授,博士,研究方向:金融计量与金融风险管理.
基金资助:
国家自然科学基金项目(71201147, 71103165);教育部人文社会科学研究青年基金(12YJC630161);全国统计科学研究项目(2014511)

Comparing Estimators of the High-Frequency Volatility Matrix in the Presence of Non-synchronous Trading and Market Microstructure Noise

ZHAO Shu-ran¹, JIANG Ya-ping¹, REN Pen-min²

1. School of Economics, Ocean University of China, Qingdao 266100, China;
2. School of Economics, Qingdao University, Qingdao 266071, China

Received:2014-03-03 Revised:2015-01-06 Online:2015-10-20 Published:2015-10-24

摘要/Abstract

摘要： 基于高频数据的波动率矩阵估计可有效解决传统低频估计面临的种种瓶颈问题。然而,由于受非同步和微观结构噪声等的影响,传统的高频波动率矩阵估计会产生艾普斯效应,并偏离其理论值。本文主要考虑非同步逐笔高频数据的三种同步化方法和五种传统已实现波动率矩阵的纠偏降噪方法,并从数值模拟和沪深股市的实证分析两个角度对两类方法分别展开了全面深入的比较研究。结果表明:更新时间同步化法最大程度地保留了数据信息,传统未纠偏的已实现波动率矩阵具有艾普斯效应,其偏差较大,多变量已实现核估计、双频已实现波动率矩阵估计、调整的已实现波动率矩阵估计的纠偏降噪效果较好,事先平均HY估计和HY估计相对表现较差。研究结果可为相关领域工作者进一步的研究与应用提供方法上的参考与指导。

关键词: 波动率矩阵, 高频数据, 微观结构噪声, 非同步交易

Abstract: High-frequency volatility matrix estimator can effectively solve some bottleneck problems faced by traditional low-frequency estimators. However, because of the influence of non-synchronous trading and market microstructure noise, it has epps effect and some big bias. So mainly three kinds of synchronization methods for non-synchronous step-by-step high-frequency data and five types of the noised-reduction methods for the traditional realized volatility matrix are considered in this paper. The two kinds of methods are deeply compared separately, from data simulation and empirical analysis. The results suggest that refresh time method includes the largest amount of data among methods we considered, realized volatility matrix has epps effect and serious bias, multivariate realized kernels, two scales realized volatility matrix estimator and modulated realized volatility matrix estimator effectively reduce noise, but pre-averaging HY and HY estimators behave a little bad. The research results can provide a useful reference and guidance on methods for workers in related fields of further research and application.

Key words: volatility matrix, high-frequency data, market microstructure noisy, non-synchronous trading

中图分类号:

F830.9

赵树然, 姜亚萍, 任培民. 高频波动率矩阵估计的比较分析——基于有噪非同步的金融数据[J]. 中国管理科学, 2015, 23(10): 19-29.

ZHAO Shu-ran, JIANG Ya-ping, REN Pen-min. Comparing Estimators of the High-Frequency Volatility Matrix in the Presence of Non-synchronous Trading and Market Microstructure Noise[J]. Chinese Journal of Management Science, 2015, 23(10): 19-29.

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高频波动率矩阵估计的比较分析——基于有噪非同步的金融数据

Comparing Estimators of the High-Frequency Volatility Matrix in the Presence of Non-synchronous Trading and Market Microstructure Noise

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