Research on the Measurement of Realized Range-Based Volatility Based on Chinese Stock Market

Author

Handong Li ; Lihuan Lu

Author_Institution

Sch. of Manage., Beijing Normal Univ., Beijing, China

fYear

2009

fDate

20-22 Sept. 2009

Firstpage

1

Lastpage

4

Abstract

Based on the realized range-based volatility, a nonparameter and integrated measurement method of volatility is presented to describe volatility dynamics. In this paper, a combination of the realized range-based volatility based on the high-frequency data at different time scale by using the method of multiple regression is presented, and the multiple regression model is proposed by enduring the power in the Almon function. Through empirical analysis of the index of China´s Stock Market, we analyze integrated measurement method of volatility at different time scale, and find the best combination of the realized range-based volatility to estimate and forecast volatility. It is confirmed that the integrated measurement method of volatility based on 1-120 minutes time scale is a better measurement than others to describe volatility of the high-frequency data.

Keywords

economic forecasting; economic indicators; regression analysis; stock markets; Almon function; Chinese stock market; integrated measurement method; multiple regression model; realized range-based volatility measurement; time scale; volatility dynamics forecasting; Economic forecasting; Finance; Frequency measurement; Linear regression; Mean square error methods; Microscopy; Nonlinear equations; Sampling methods; Stock markets; Time measurement;

fLanguage

English

Publisher

ieee

Conference_Titel

Management and Service Science, 2009. MASS '09. International Conference on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-4638-4

Electronic_ISBN

978-1-4244-4639-1

Type

conf

DOI

10.1109/ICMSS.2009.5302307

Filename

5302307