Empirical Study On The Volatilities Characteristics Of The Chinese Stock Market Based On Weighted Realized Range-based Volatility

With the computer and communication technology development ,when high frequencydata to obtain financial possible, how to use high frequency data modeling and estimate thevolatility became one of the hot topics in the study of problems. The realized range-basedvolatility is a new measure approach of volatility in high frequency data field, and theweighted realized rang e-based volatility can effectively remove the "intraday effect " ofvolatility , it is more efficient than the realized volatility in estimating volatility .Generally speaking, different stock markets show different wave characteristics,Volatility estimates of the amount of quality lies in whether accurately depict the volatility ofthe stock market typical features and trend. Large studies show that China’s stock market hasthe characteristics of fat-fail, clustering , persistence and asymmetry ,and Vulnerable to theinfluence of the trading volume and market micro factors. Based on Chinese stock markethigh frequency data structure of the weighted realized rang e-based volatility also will be ableto depict the fluctuation character , there is no relevant literature to study.At first , using 5-minute-high-frequency data o f the Shanghai and Shenzhen 300 StockIndex , the paper constructs the realized volatility series、the realized rang e-based volatilityseries and the weighted realized rang e-based volatility series. Through theoretical andempirical analysis ,we found that the variance of the realized rang e-based volatility is 1/5 ofthe realized volatility , and the weighted realized rang e-based volatility can effectivelyremove the "intraday effect " of volatility , it is more efficient than the realized volatility inestimating volatility.Then, we establish the model according to characteristics o f the volatilityseries, based on which , we study the asymmetric feature of weighted realized rang e-basedvolatility and it s response t o trading volume. Empirical result s show t hat the weightedrealized rang e-based volatility of China Stock Market has the characteristics of fat-fail,clustering , persistence and asymmetry , and a relatively strong positive correlation betweenweighted realized rang e-based volatility and trading volume exists.