论文部分内容阅读
在金融研究中,波动性一直是一个非常重要的问题,投资组合选择、原生资产和衍生资产定价、风险管理等等都离不开对波动性的准确度量。近年来衍生证券的交易量增长迅速,而波动性是衍生证券定价中最重要的变量。既然波动性预测是金融市场中的一件重要工作,所以在最近的20年里,它吸引了学术界和实务界的广泛的注意力。本文试图对现有的有关波动性预测的研究文献做全面综合。
Volatility has always been a very important issue in financial research. Portfolio options, pricing of primary and derivative assets, risk management, etc., are all inseparable from the accurate measurement of volatility. In recent years, the trading volume of derivative securities has increased rapidly, while volatility is the most important variable in the pricing of derivative securities. Since volatility forecasting is an important task in financial markets, it has drawn the attention of academics and practitioners for the last two decades. This article attempts to comprehensively synthesize the existing literature on volatility forecasting.