Taking highfrequency data of CSI300 index as example, the outofsample volatility predictions and a SPA test are used to evaluate the predicting ability for different historical volatility models and realized volatility models.The empirical results show that realized volatility model and the extended SV model are superior to other models. However the GARCH model and its extended type, which is popular in financial academe and practice, perform the worst for volatility predicting of Chinese A-share market.
魏宇. 中国股票市场的最优波动率预测模型研究——基于沪深300指数高频数据的实证分析[J]. J4, 2010, 7(6): 936-.
WEI Yu. Optimal Volatility Predicting Models for Chinese Stock Market: Empirical Study on Highfrequency data of CSI300 Index. J4, 2010, 7(6): 936-.