【摘 要】
：
Using nonparametric estimation method, this paper studies the dynamic evolution features of jumps in volatility of domestic stock market.We build the heterogeneous autoregressive model of realized vol
【机 构】
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Applied Economics Postdoctoral Research Station, School of Economics and Finance, Xi 'an Jiaotong U
【出 处】
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The Third IMS-China International Conference on Statistics a
论文部分内容阅读
Using nonparametric estimation method, this paper studies the dynamic evolution features of jumps in volatility of domestic stock market.We build the heterogeneous autoregressive model of realized volatility for stock index returns, and use the conditional extreme value approach to predict the volatility risk of stock market dynamically.
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