The Measure Methods and Empirical Research of Return Volatility

摘要：

This paper has summarized the common methods used to measure return volatility. To compare the difference between different volatility measurement methods, we have done some research on standard deviation of historical earnings, GARCH models, and the absolute value of earnings and realized volatility. The results show that the forecasting accuracy based on realized volatility is better than the others such as GARCH.

关键词： Realized Volatility GARCH Model Stochastic Volatility Models

作者: MA Yulin ZHAO Jing YE fei

作者单位: School of Statistic and mathematics, Shandong university of Finance, P.R.China, 250014 School of accounting, Shandong university of Finance, P.R.China, 250014

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-6

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）