标题:The empirical research on volatility measurement model based multiplicative error model
作者:Ma, Yulin ;Guo, Pin ;Zhao, Yuan
作者机构:[Ma, Yulin ;Guo, Pin ;Zhao, Yuan ] School of Mathematic and Quantitative Economics, Shandong University of Finance and Economics, Jinan, Shandong; 250 更多
会议名称:7th International Joint Conference on Computational Sciences and Optimization, CSO 2014
会议日期:July 4, 2014 - July 6, 2014
来源:Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014
出版年:2014
页码:455-458
DOI:10.1109/CSO.2014.156
摘要:Volatility is a very important factor of measuring financial risk. This paper introduces the volatility measurement method of high frequency financial time series involving the nonnegative-Multiplicative Error Model. This paper takes the high frequency data of HS300 index of Chinese stock market as the research object, building the TARCH model according to leverage, and uses the 'realized volatility' to build ARFIMA model, multiplicative error model respectively, then carries on the comparative analysis on accuracy after using the three models to predict with the mean square error method. The analysis results show that the multiplicative error model gives the best prediction effects, and ARFIMA model is the second.
© 2014 IEEE.
收录类别:EI
资源类型:会议论文
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