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High frequency volatility model based on leverage, volume price relationship and VIX index

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DOI: 10.23977/edms2021.020


Xinyu Yang

Corresponding Author

Xinyu Yang


Volatility is the degree of financial asset price volatility, is the uncertainty of asset return rate measurement, used to reflect the risk level of financial assets. The higher the volatility, the more severe the volatility of financial asset price, the stronger the uncertainty of asset return rate; the lower the volatility, the more smooth the volatility of financial asset prices, the stronger the certainty of asset return rate. Based on the HAR-RV model, the LHAR-RV-V model is constructed by considering the influence of leverage effect, volume price relationship and market panic factors on volatility. An empirical analysis of the 5-minute high-frequency data of CSI 300 index by using the LHAR-RV-V-V model shows that LHAR-RV-V model has better out-of-sample prediction ability than other models, and the prediction results are quite robust.


Market heterogeneity, leverage, VIX index, LHAR-RV-V model

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