Measurement of CSI 300 stock index futures volatility under high-frequency environment-Methods based on realized volatility and its modification
高频环境下沪深300股指期货波动测度——基于已实现波动及其改进方法

As the only publicly launched financial futures contracts of China,CSI 300 stock index futures plays an important role in the process of price discovery and risk prevention of the capital market.The measurement of its return volatility is significantly important to achieve the risk aversion function of stock index futures.Under the intraday high-frequency data environment,the return volatility of Chinese CSI 300 stock index futures was measured by realized volatility methods including classical realized vol...