Research On Estimation Method And Application Of Volatility Considering Jump And Market Microstructure Noise

Research on securities market volatility has been the main issue in the field of modern financial research for a long time. The volatility is the core of the function of securities market, which is price discovery and capital allocation. Therefore, how to estimate volatility of asset equilibrium price considering jump and market microstructure noise has important theoretical and applied value. In this paper, we study the estimation method of volatility of asset equilibrium price considering jump and market microstructure noise and the application of asset allocation from the perspective of financial market microstructure along realized volatility research framework. The dissertation includes five theoretical and empirical aspects:1. Features research of jump behavior of realized volatility in Chinese stock market considering market microstructure noise. Initially, building on theoretical results for bi-power variation measures, realized volatility is divided into two parts: the continuous sample path variation and the discontinuous jump variation. The statistical feature of jump variation is studied. Then how continuous sample path variance and discrete jump variation affect the prediction of realized volatility respectively is examined by using a HAR-RV-CJ volatility forecasting model.2. Under the precondition of the existence of jump in Chinese stock market, the event risk model based on the jump diffusion process is established for stock and stock index. We calculate the simultaneous jump intensity for large-cap stocks and Hushen 300 index. Risk spillover effect is analyzed between large-cap stocks and Hushen 300 index. The Hushen 300 index is the subject index of stock index futures coming soon, so the result shows that there is strong risk relationship between our stock market and stock index futures market. Finally the foundation is laid for united monitoring mechanism designing between stock market and stock index futures market in China.3. Features research of market microstructure noise in China. We measure the difference of transaction price and full information price by using an acting indicator which is named full information transaction cost. The difference between efficient price and full information price is considered by full information transaction cost. The results show that full-information transaction cost includes private information and learning on the part of market participants. As an ideal measurement of market efficiency, transaction cost can be accurately estimated through full-information transaction cost.4. How to estimate the volatility of asset equilibrium price is studied under the condition of jump and market microstructure noise existing at the same time. Based on the wavelet method of time series change-point analysis, jump variation and integrated volatility is consistent estimated using high frequency price sampling data which contains market microstructure noise and jump. We find that price jump of Chinese stock market is accurately identified by wavelet transform method and volatility is estimated more accurately, indicating that the volatility of asset equilibrium price should be used for risk management and asset allocation in financial market.5. Application research of estimation method of asset equilibrium price volatility considering market microstructure noise. The importance for estimation of asset equilibrium price volatility considering market microstructure noise is analyzed from the perspective of asset allocation. We find that the gains yield by optimal sampling realized variance and covariance are economically large, indicating that estimation of asset equilibrium price volatility has broad prospects.