Long Memory of the Realized Volatility for Shanghai Stock Composite Index

摘要：

　　This paper uses the high-frequency data of the Shanghai Composite Index as samples to study the long memory properties of realized volatility RV,RBV and RRV in different sampling intervals.The results show that: (1) 1-60 minute sampling interval realized volatility measurement have a long memory,but as the sampling interval increases,the long memory of RV and RBV decreases,while that of RRV increases; (2) After removing the large jump values in the Shanghai index series,we find that the long memory of RV and RBV do not change significantly,while the long memory of RRV decreases.

关键词： Shanghai Composite Index Realized volatility Long Memory

作者: LI Liu LI Handong

作者单位: School of Management,Beijing Normal University,Beijing,China,100875

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 339-343

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）