HAR-RV-EMD-J模型及其对金融资产波动率的预测研究

›› 2017, Vol. 29 ›› Issue (1): 19-32.

HAR-RV-EMD-J模型及其对金融资产波动率的预测研究

龚旭^1,2, 文凤华^1,3, 黄创霞⁴, 杨晓光⁵

1. 中南大学商学院, 长沙 410083;
2. 厦门大学经济学院, 厦门 361005;
3. 温州大学金融研究院, 温州 325035;
4. 长沙理工大学数学与计算科学学院, 长沙 410114;
5. 中国科学院数学与系统科学研究院管理决策与信息系统重点实验室, 北京 100190

收稿日期:2014-11-03 出版日期:2017-01-28 发布日期:2017-03-16
通讯作者: 文凤华(通讯作者),中南大学商学院教授,博士生导师;黄创霞,长沙理工大学数学与计算科学学院教授,副院长。
作者简介:龚旭,中南大学商学院博士,厦门大学经济学院博士后;杨晓光,中国科学院数学与系统科学研究院管理决策与信息系统重点实验室研究员,博士生导师。
基金资助:
国家自然科学基金项目（71371195；71431008；71471020；71633006）；国家社会科学基金重大项目（14ZDA045）；中南大学中央高校基本科研业务费专项资金资助（2015zzts006）。

The HAR-RV-EMD-J Model and Its Application to Forecasting the Volatility of Financial Assets

Gong Xu^1,2, Wen Fenghua^1,3, Huang Chuangxia⁴, Yang Xiaoguang⁵

1. School of Business, Central South University, Changsha 410083;
2. School of Economics, Xiamen University, Xiamen 361005;
3. Institute of Finance, Wenzhou University, Wenzhou 325035;
4. School of Economics and Management, Changsha University of Science and Technology, Changsha 410114;
5. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190

Received:2014-11-03 Online:2017-01-28 Published:2017-03-16

摘要/Abstract

摘要：

本文在HAR-RV模型的基础上，运用EMD等方法将模型中的已实现波动率分解成高频已实现波动率、低频已实现波动率和趋势已实现波动率，并加入跳跃波动率成分，构建HAR-RV-EMD-J模型；接着，以沪深300股指和沪深300股指期货的5分钟高频交易数据为实证样本，对HAR-RV-EMD-J模型以及常见的四个HAR类波动率模型进行样本内分析和样本外分析，并对其分析结果进行稳健性检验。研究发现：在HAR-RV-EMD-J模型中，高频已实现波动率和低频已实现波动率包含对未来1日、1周、2周和1月波动率的预测信息较多，而趋势已实现波动率和跳跃波动率包含的预测信息较少；HAR-RV-EMD-J模型对未来1日、1周、2周和1月波动率的样本内和样本外预测能力都明显强于其他四个HAR类波动率模型。

关键词: 已实现波动率, 波动率预测, HAR-RV模型, EMD方法, SPA检验

Abstract:

On the basis of the HAR-RV model, we develop a new HAR-type volatility model (i.e., HAR-RV-EMD-J model). Then we use 5-min high-frequency transaction data of the CSI 300 stock index and CSI 300 stock index futures as the study sample, and respectively analyzes the HAR-RV-EMD-J and the other four HAR-type volatility models. The results indicate that the high-frequency realized volatility, low-frequency realized volatility can be used to predict the future 1 day, 1 week, 2 week and 1 month volatilities, while the trend realized volatility and jump volatility are poor at its prediction accuracy. Besides, the HAR-RV-EMD-J model shows obviously better forecasting performance than the other HAR-type volatility models on forecasting the future volatilities of the CSI 300 stock index and CSI 300 stock index futures.

Key words: realized volatility, volatility forecasting, HAR-RV model, EMD method, SPA test

龚旭, 文凤华, 黄创霞, 杨晓光. HAR-RV-EMD-J模型及其对金融资产波动率的预测研究[J]. , 2017, 29(1): 19-32.

Gong Xu, Wen Fenghua, Huang Chuangxia, Yang Xiaoguang. The HAR-RV-EMD-J Model and Its Application to Forecasting the Volatility of Financial Assets[J]. , 2017, 29(1): 19-32.

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