欧洲和美国股票指数日内实现波动率

ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic) Pub Date : 2014-04-01 DOI:10.2139/ssrn.3259865

Stavros Degiannakis, Christos Floros

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引用次数: 13

摘要

本文构建了17个欧美股票指数的日内实现波动率度量。我们利用无模型去噪方法，将实现的波动率集合到根据波动率特征图选择的采样频率中，使微观结构影响最小化。在验证了已实现波动率的风格化事实后，研究了已实现波动率之间相关关系的动态行为。已实现波动率之间的相关性是正的，并且非常高，尽管在某些时期，它会急剧下降。美国(或欧洲)内部波动率的相关性远远高于美国和欧洲之间波动率的相关性。此外，我们提供的证据表明，经日间调整的已实现波动率显著减少了对真实变异性的低估。

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Intra-Day Realized Volatility for European and USA Stock Indices

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot, which minimizes the microstructure effects. Having verified the stylized facts of realized volatility, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized volatilities is positive and extremely high, although for some periods, it decreases dramatically. The correlation of volatilities within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide evidence that the inter-day adjusted realized volatility reduces significantly the underestimation of the true variability.

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ERN: Other Econometric Modeling: International Financial Markets - Developed Markets (Topic)

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