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在已实现波动率异质自回归模型(HAR-RV模型)的基础上,基于市场微观结构的理论,同时考虑市场波动的杠杆效应和量价关系,构造了已实现波动率及交易量之长记忆异质自回归模型(LHAR-RV-V模型).利用该模型对沪深300指数的等时1min高频数据进行实证分析,实证结果表明该模型能够较好地捕捉到我国股票市场波动的长记忆性和杠杆效应,且杠杆效应具有一定的持续性.此外,过去不同周期交易量的加入不仅能够更为细微的反映量价之间的关系,而且在一定程度上改善了模型的预测能力.
On the basis of the realized volatility heterogeneous autoregressive model (HAR-RV model), based on the market microstructure theory, taking into account the leverage effect and the price-volume relationship of the market volatility, we construct the long-term volatility and trading volume Memory heterogeneity autoregressive model (LHAR-RV-V model) .Using the model to analyze the isochronous 1-minute high frequency data of Shanghai and Shenzhen 300 Index, empirical results show that the model can better capture the volatility of China’s stock market Long memory and leverage, and the leverage effect has a certain continuity.In addition, the trading volume in different periods in the past not only can more subtly reflect the relationship between volume and price, and to some extent, improve the predictive ability of the model .