摘要
本文在新的HAR-CJ-M模型框架下研究了沪深300指数隔夜风险的动态特征、影响因素以及可预测性,利用BN-S方法将日内波动分解为连续性波动和跳跃性波动,并运用ACH模型估计发生跳跃的意外性程度,进而采用最小二乘和分位数回归方法估计日内波动率指标和跳跃的意外性程度对隔夜风险的影响。研究结果表明,日内连续性波动、跳跃性波动和隔夜风险的滞后项都会显著地影响隔夜风险,且存在不对称效应;日内跳跃对大的隔夜风险的影响非常显著,且可以利用HAR-CJ-M模型很好地预测大的隔夜风险。
This paper investigates the dynamic characteristics, influencing factors and predictability of overnight risk in a new HAR-CJ- M framework. Specifically, BN-S method is used to decompose intraday volatility into continuous and jumping components respectively, and ACH model is adopted to estimate jump＇ s unexpected degree. Furthermore, OLS and Quantil~ Regression approaches are applied to estimate the effects of intraday volatility and jump＇ s accidental degree on overnight risk. Our results show that continuous intraday volatil- ity, jumping component of volatility and the lags of overnight risk have significant and asymmetric impacts on overnight risk. Moreover, the paper finds that intraday jumps have great effects on substantial overnight risk, which suggests the extended HAR-CJ-M model have good performance in forecasting such risk.
出处
《管理评论》
CSSCI
北大核心
2014年第2期3-12,共10页
Management Review
基金
国家自然科学基金项目(71171090)
