Volatility,as an important index for evaluation of uncertainty of the underlying asset,has been widely used in the field of finance,economy,energy,environment and so on.With the rapid development of financial markets,volatility risk has become a major systemic risk,and thus has been identified as a re-search priority by financial market regulators,financial institutions and investors.Modeling and forecas-ting the volatility of financial assets are necessities in the financial market risk management,but the vola-tility itself is not directly observable,so it is imperative to construct a suitable volatility model which can offer a good forecasting of real volatility.Driven by the evaluations of usable data sources,the research a-chievements of volatility models were summarized from low frequency data,high frequency data and mixed frequency data in order to provide references for the following research.
关键词
波动率/金融市场/低频数据/高频数据/混频数据
Key words
volatility/financial market/low frequency data/high frequency data/mixed frequency data
维普
万方数据