The Research on Capital Asset Pricing Model Based on Persistence of Conditional Variances in High-frequency Data
基于高频方差持续的资本资产定价模型研究

The corresponding models of realized volatility and realized covariance of time series of high-frequency finance are brought forward and the realized volatility-autoregressive and moving average(RV-ARMA)model and the realized volatility-vector autoregressive(RV-VAR) model are set up.The persistence definition and correlative character of high-frequency time series are given at the time.Based on the RV-ARMA model,it is discussed that the persistence of conditional variances has a effect on capital asset pricing model(CAPM) from persistence viewpoint.Moreover,we analyze the persistence of multi-asset portfolio which follows a RV-VAR process.Based on the RV-ARMA model,the empirical analysis points out the facts that the conditional variances have a persistent effect on capital asset pricing in model with root.Finally,the realistic meaning of persistence character of conditional variances in finance analysis is discussed.