Weighted Median Realized Volatility and Its Application in China’s Stock Market
Weighted Median Realized Volatility and Its Application in China’s Stock Market
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加权中位数实现波动率及其在中国股市的应用
DOI：
10.4028/www.scientific.net/amr.403-408.5235
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
M. Guo
中科院分区：
文献类型：
--
作者：
M. Guo
中值已实现波动率是一种新的高频时间序列波动率度量方法。中值已实现波动率是无模型的，可以很容易地计算。加权中值已实现波动率是一种更为有效的波动率度量方法，它使中值已实现波动率成为其特例。本文从定义、偏差、有效性、日历效应四个方面对中值已实现波动率和加权中值已实现波动率进行了比较。本文通过对上海股市的实证研究，证明了加权中值已实现波动率比中值已实现波动率具有上级的优势。
Median realized volatility is a new measure approach of volatility in high-frequency time series. Median realized volatility is model-free and can be computed easily. Weighted median realized volatility is a more efficient volatility measurement, which make median realized volatility become its special case. In this paper, we compare Median realized volatility and weighted Median realized volatility from four aspects: definition, bias, efficiency, calendar effect. Through the empirical study on the Shanghai stock market, this paper proves weighted Median realized volatility is superior to Median Realized Volatility.