中国股票市场的多分形波动率测度及其有效性研究被引量：14

Multifractal Volatility Measure of China's Stock Market and Its Validity

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摘要由多分形分析出发,提出了一种新型的金融市场多分形波动率测度Sα。与传统测度Δα相比,Sα更为充分地利用了多分形分析过程中产生的对描述金融市场波动有益的统计信息。以上证综指和深证成指1354个交易日内5个不同抽样频率的高频数据为例,通过运用具有bootstrap特性的SPA检验法,检验了Sα测度和Δα测度对中国股票市场真实波动率估计的有效性差异。实证研究表明,Sα测度对市场真实波动率的估计较Δα测度更为准确。 According to the multifractal theory, a new multifractal volatility measure of financial market, Sα , is presented in this paper. In comparison with conventional volatility measure △α, Sα uses more statistical information about market volatility characteristics included in multifractal analysis. Empirical research on China＇s stock market shows that So provides more accurate measure to market volatility and is closer to real volatility than △α after appropriate scale adjustment.

作者王鹏王建琼

机构地区西南交通大学经济管理学院

出处《中国管理科学》 CSSCI 2008年第6期9-15,共7页 Chinese Journal of Management Science

基金国家自然科学基金资助项目(7050102570771097)

关键词多分形波动率真实波动率 SPA检验 multifractal volatility real volatility SPA test

分类号 F830 [经济管理—金融学]

作者简介王鹏（1981-），男（汉族），山东宁阳人，西南交通大学经济管理学院博士研究生，研究方向：金融工程、金融复杂性．

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