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在度量风险时,一个常用的指标就是收益率的方差。然而,用该指标来度量风险会丢失掉一些非常有用的信息,如一日之内的开盘价,最高价,最低价等。鉴于传统指标的不足,提出用另一种指标—价格波动幅度变动率来度量市场风险。为了说明该指标的合理性及优良性,用标普500指数考察了该指标的主要经验统计特性和动态结构。结果表明新的指标具有近似正态性,建模的简易性及可预测性,因此可以作为一个新的风险度量指标。
A common indicator when measuring risk is the variance of the rate of return. However, using the indicator to measure risk will lose some very useful information, such as the opening price, the highest price, the lowest price in a day. In view of the lack of traditional indicators, it is proposed to measure the market risk with another indicator, the rate of change of price volatility. To illustrate the rationality and goodness of the indicator, the S & P 500 index was used to examine the major empirical characteristics and dynamic structure of the indicator. The results show that the new index has approximate normality, simplicity and predictability of modeling, so it can be used as a new measure of risk.