隔夜波动率的估计
The Estimation of the Overnight Volatility

基于广义动态因子模型构建了个股隔夜波动率的一个新的估计量,并利用中国的上证50指数的24支成分股2013―2014年的数据进行了实证分析.实证结果表明:新估计量比隔夜收益的平方的表现更好,新的估计量可以降低噪声的影响.
A new estimation of overnight volatility of individual stock returns based on the generalized dynamic factor model is proposed.Using the data of 24 stocks of the Shanghai Stock Exchange 50 index,the overnight volatility level of them is studied.Empirical results show that the new estimation performs better than the squared overnight return and dose eliminate part of the noisy component