Review on the Progress of Measuring Method of Financial Market Volatility
Liu Feng-tao · Journal of the South China Agricultural University · 2005
This paper reviews the progress of measuring method, and expounds, from the oretical point of view, how to solve the problems, such as curse-of-dimension ality, parameter evaluation, etc, aiming at the limits of mainstream volatility models, such as ARCH family and SV family, in practice. The constructions of re alized variance and realized co-variance, relations between them and integrated volatilityintegrated diffusion matrix, empirical results from the foreign, are presented emphatically. Simultaneously, modeling by virtue of realized volatil ity is also recommended and being applied fields via realized volatility future are pointed out.