通过资产价格波动的时变不确定性参数评估市场不确定性
Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
摘要：
应用于高频数据的最大似然估计使我们能够量化资产价格波动的不稳定性。从短至一个月的时间记录中，这些方法允许提取表征资产价格波动率聚集程度的有意义的波动率参数λ。因此，我们可以研究波动率聚集的时间演化，并测试这种变化的统计意义。通过分析奥斯陆证券交易所的数据，并将结果与投资级价差进行比较，我们发现，在市场高度不确定的情况下，λ的估计值较低。
英文摘要：
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter λ characterising the degree of volatility clustering of asset prices. We can therefore study the time evolution of volatility clustering and test the statistical significance of this variability. By analysing data from the Oslo Stock Exchange, and comparing the results with the investment grade spread, we find that the estimates of λ are lower at times of high market uncertainty.
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