本文采用半鞅过程的双重次方变差和多重次方变差构造的跳检验统计量,对沪深300指数进行日内跳检验。检验结果表明,沪深300指数多于1/3的交易日有跳发生,跳发生的概率在不同交易时段并不均匀,并表现出一定的持续性。计算结果表明,跳二次变差在二次变差中占的比例高达32.48%,是二次变差的重要组成部分。 In this paper, we use the double test of semivariant martingale variances and multiple test variances to test the daily average of the CSI 300 index. The test results show that there is more than one-third of the Shanghai-Shenzhen 300 index jump occurred, the probability of occurrence of the jump in different trading hours is not uniform, and showed some continuity. The calculation results show that the second jump of jump in the second variation accounted for as high as 32.48%, is an important part of the second variation.