基于动态加权方法的收益率的波动率估计

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文章编号：1003-6180（2026）02-0013-04

[中图分类号]015

[文献标志码]A

Volatility Estimation of Return based on Dynamic Weighting Method

LIU Sitong 1 ， WANG Lizhu *1 ， YANG Guang 2

（1. Shenyang Normal University， School of Mathematics and Systems Science， Shenyang 110000， China; 2. Quanzhou Vocational University， Joint Innovation Industry College， Quanzhou ， China）

Abstract： A dynamic weighted volatility estimation method is proposed， which dynamically allocates weights based on the deviation of the data from the window mean. Empirical analysis shows that the volatility calculated by this method is more stable， with a smaller mean and standard deviation， and a lower maximum value， which can more accurately reflect the actual volatility characteristics of stocks.

Keywords： volatility; dynamic weighting; extreme values

在金融领域，波动率是反映资产价格波动程度的关键指标，它不仅是投资组合风险管理的核心参数，也是期权定价、风险价值（Value at Risk，VaR）计算等金融工程应用的基础。（剩余3931字）