⑴ 濡备綍閲忓寲閲戣瀺甯傚満镄勬尝锷ㄦэ纴骞朵笖棰勬祴链𨱒ョ殑娉㈠姩镐э纻
閲戣瀺甯傚満镄勬尝锷ㄦф槸鎸囱祫浜т环镙肩殑娉㈠姩绋嫔害锛屾尝锷ㄦч珮琛ㄧず璧勪骇浠锋牸鍙桦寲鍓х儓锛屾尝锷ㄦт绠鍒栾〃绀鸿祫浜т环镙艰缉涓虹ǔ瀹氥备笅闱浠嬬粛涓浜涘父鐢ㄧ殑鏂规硶𨱒ラ噺鍖栧拰棰勬祴閲戣瀺甯傚満镄勬尝锷ㄦэ细
1. 骞冲潎鐪熷疄娉㈠箙锛圆verage True Range, ATR锛夛细ATR鏄涓绉嶆妧链鎸囨爣锛岀敤浜庢祴閲忎环镙兼尝锷ㄧ殑鍙桦寲锣冨洿鍜岃秼锷匡纴甯歌鐢ㄤ簬镶＄エ銆佹湡璐х瓑甯傚満镄勬尝锷ㄦф祴閲忓拰浠锋牸棰勬祴銆
2. 铡嗗彶娉㈠姩鐜囷纸Historical Volatility, HV锛夛细鍙浠ュ埄鐢ㄥ巻鍙茶偂绁ㄣ佹湡璐х瓑璧勪骇镄勬敹鐩树环鏁版嵁璁＄畻鍑篐V锛屽畠鍙鐢ㄤ簬娴嬮噺璧勪骇鍦ㄨ繃铡讳竴娈垫椂闂村唴镄勬尝锷ㄦэ纴浠庤岄勬祴链𨱒ョ殑娉㈠姩姘村钩銆
3. 闅愬惈娉㈠姩鐜囷纸Implied Volatility, IV锛夛细IV鏄锘轰簬链熸潈瀹氢环妯″瀷璁＄畻鍑烘潵镄勪竴涓鍙傛暟锛岀敤𨱒ュ弽鏄犲竞鍦哄逛簬链𨱒ヨ祫浜т环镙兼尝锷ㄧ殑棰勬湡銆侷V瓒婇珮锛岃〃绀哄竞鍦哄逛簬链𨱒ヤ环镙煎彉锷ㄨ秺澶с
4. GARCH妯″瀷锛欸ARCH鏄涓绉嶅垎鏋愭椂闂村簭鍒楁暟鎹镄勭粺璁℃ā鍨嬶纴鍙娴嬮噺璧勪骇鏀剁泭镄勬柟宸鍜屽岗鏂瑰樊镄勫彉鍖栵纴阃氲繃瀵瑰巻鍙叉暟鎹镄勫垎鏋愭潵棰勬祴链𨱒ヤ环镙肩殑娉㈠姩镐с
5. 锘轰簬链哄櫒瀛︿範镄勯勬祴妯″瀷锛氭満鍣ㄥ︿範妯″瀷锛屽傚喅绛栨爲銆佺炵粡缃戠粶绛夛纴鍙浠ュ瑰ぇ閲忕殑鏁版嵁杩涜屽︿範锛岄氲繃瀵瑰巻鍙叉暟鎹镄勫︿範鍜屽垎鏋愶纴棰勬祴链𨱒ヨ偂绁ㄣ佹湡璐х瓑璧勪骇镄勪环镙兼尝锷ㄦс
浠ヤ笂鏂规硶閮芥湁钖勮嚜镄勪紭缂虹偣锛屾姇璧勮呭簲璇ョ粨钖埚叿浣撶殑甯傚満鐜澧冨拰瀹为檯𨱍呭喌锛岄夋嫨阃傚悎镊宸辩殑鏂规硶𨱒ラ噺鍖栧拰棰勬祴链𨱒ョ殑娉㈠姩镐с