⑴ 濡備綍閲忓寲閲戣瀺甯傚満鐨勬嘗鍔ㄦэ紝騫朵笖棰勬祴鏈鏉ョ殑娉㈠姩鎬э紵
閲戣瀺甯傚満鐨勬嘗鍔ㄦф槸鎸囪祫浜т環鏍肩殑娉㈠姩紼嬪害錛屾嘗鍔ㄦч珮琛ㄧず璧勪駭浠鋒牸鍙樺寲鍓х儓錛屾嘗鍔ㄦт綆鍒欒〃紺鴻祫浜т環鏍艱緝涓虹ǔ瀹氥備笅闈浠嬬粛涓浜涘父鐢ㄧ殑鏂規硶鏉ラ噺鍖栧拰棰勬祴閲戣瀺甯傚満鐨勬嘗鍔ㄦэ細
1. 騫沖潎鐪熷疄娉㈠箙錛圓verage True Range, ATR錛夛細ATR鏄涓縐嶆妧鏈鎸囨爣錛岀敤浜庢祴閲忎環鏍兼嘗鍔ㄧ殑鍙樺寲鑼冨洿鍜岃秼鍔匡紝甯歌鐢ㄤ簬鑲＄エ銆佹湡璐х瓑甯傚満鐨勬嘗鍔ㄦф祴閲忓拰浠鋒牸棰勬祴銆
2. 鍘嗗彶娉㈠姩鐜囷紙Historical Volatility, HV錛夛細鍙浠ュ埄鐢ㄥ巻鍙茶偂紲ㄣ佹湡璐х瓑璧勪駭鐨勬敹鐩樹環鏁版嵁璁＄畻鍑篐V錛屽畠鍙鐢ㄤ簬嫻嬮噺璧勪駭鍦ㄨ繃鍘諱竴孌墊椂闂村唴鐨勬嘗鍔ㄦэ紝浠庤岄勬祴鏈鏉ョ殑娉㈠姩姘村鉤銆
3. 闅愬惈娉㈠姩鐜囷紙Implied Volatility, IV錛夛細IV鏄鍩轟簬鏈熸潈瀹氫環妯″瀷璁＄畻鍑烘潵鐨勪竴涓鍙傛暟錛岀敤鏉ュ弽鏄犲競鍦哄逛簬鏈鏉ヨ祫浜т環鏍兼嘗鍔ㄧ殑棰勬湡銆侷V瓚婇珮錛岃〃紺哄競鍦哄逛簬鏈鏉ヤ環鏍煎彉鍔ㄨ秺澶с
4. GARCH妯″瀷錛欸ARCH鏄涓縐嶅垎鏋愭椂闂村簭鍒楁暟鎹鐨勭粺璁℃ā鍨嬶紝鍙嫻嬮噺璧勪駭鏀剁泭鐨勬柟宸鍜屽崗鏂瑰樊鐨勫彉鍖栵紝閫氳繃瀵瑰巻鍙叉暟鎹鐨勫垎鏋愭潵棰勬祴鏈鏉ヤ環鏍肩殑娉㈠姩鎬с
5. 鍩轟簬鏈哄櫒瀛︿範鐨勯勬祴妯″瀷錛氭満鍣ㄥ︿範妯″瀷錛屽傚喅絳栨爲銆佺炵粡緗戠粶絳夛紝鍙浠ュ瑰ぇ閲忕殑鏁版嵁榪涜屽︿範錛岄氳繃瀵瑰巻鍙叉暟鎹鐨勫︿範鍜屽垎鏋愶紝棰勬祴鏈鏉ヨ偂紲ㄣ佹湡璐х瓑璧勪駭鐨勪環鏍兼嘗鍔ㄦс
浠ヤ笂鏂規硶閮芥湁鍚勮嚜鐨勪紭緙虹偣錛屾姇璧勮呭簲璇ョ粨鍚堝叿浣撶殑甯傚満鐜澧冨拰瀹為檯鎯呭喌錛岄夋嫨閫傚悎鑷宸辯殑鏂規硶鏉ラ噺鍖栧拰棰勬祴鏈鏉ョ殑娉㈠姩鎬с