存在依赖性市场微观结构噪声时的已实现波动率状态空间模型

arXiv - ECON - Econometrics Pub Date : 2024-08-30 DOI:arxiv-2408.17187

Toru Yano

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引用次数: 0

摘要

波动率是指股票价格的变化程度，在金融领域非常重要。实现波动率（RV）是利用高频观测价格计算出的波动率估计值。最近，RV 引起了计量经济学和数理金融学的极大关注。然而，众所周知，高频数据包含被称为市场微观结构噪声（MN）的观测误差。Nagakura 和 Watanabe[2015]提出了一种状态空间模型，将 RV 分解为真实波动率和 MN 的影响。本文假定 MN 与 Hansen 和 Lunde[2006]报告的收益率自相关和相关，并扩展了 Nagakura 和 Watanabe[2015]的结果，通过模拟和实际数据对模型进行比较。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise

Volatility means the degree of variation of a stock price which is important in finance. Realized Volatility (RV) is an estimator of the volatility calculated using high-frequency observed prices. RV has lately attracted considerable attention of econometrics and mathematical finance. However, it is known that high-frequency data includes observation errors called market microstructure noise (MN). Nagakura and Watanabe[2015] proposed a state space model that resolves RV into true volatility and influence of MN. In this paper, we assume a dependent MN that autocorrelates and correlates with return as reported by Hansen and Lunde[2006] and extends the results of Nagakura and Watanabe[2015] and compare models by simulation and actual data.

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arXiv - ECON - Econometrics

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