Realized volatility and absolute return volatility: a comparison indicating market risk.
Realized volatility and absolute return volatility: a comparison indicating market risk.
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DOI：
10.1371/journal.pone.0102940
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发表时间：
2014
期刊：
影响因子：
3.7
通讯作者：
Li B
中科院分区：
文献类型：
--
作者：
Zheng Z;Qiao Z;Takaishi T;Stanley HE;Li B
衡量金融市场的波动性是风险管理理论和实践中的一个主要挑战，在制定投资策略时也是必不可少的。尽管关于这一主题的大量文献描述了许多不同的模型，但在过去的十年里，两种非参数测量方法已经出现并得到了广泛的应用：已实现波动率和绝对收益波动率。前者在金融领域受到强烈青睐，后者则受到经济物理学家的青睐。我们检查了这两种方法的记忆和聚类特征，发现它们都能够实现强大的预测。我们对两者进行了详细的比较，发现虽然已实现波动率具有更好的短期效应，可以预测近期的市场行为，但绝对收益波动率更容易计算，并且作为一种风险指标，具有与已实现波动率大致相同的敏感性。我们详细的实证分析为研究人员和市场参与者提供了有价值的指导，因为它提供了两种方法的优势和劣势的明显更清晰的比较。
Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.
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影响因子：
2.5
作者：
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通讯作者：
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影响因子：
6.1
作者：
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DOI：
10.1198/016214501750332965
发表时间：
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影响因子：
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作者：
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通讯作者：
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影响因子：
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作者：
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