Study on Volatility Copersistence Based on Realized Volatility and Its Application
基于“已实现”波动的协同持续研究及其应用

In previous research papers,the research on volatility persistence and volatility copersistence is based on low-frequency data.With the development of the information technology,high-frequency data can be stored and obtained more easily.In this paper,we use realized volatility as a new volatility estimator which is based on high-frequency data.Then we define volatility persistence and volatility copersistence based on realized volatility.In addition,we do empirical research on volatility persistence and volatility copersistence using the high-frequency data of Chinese stock markets.