The Analysis of the Theoretical Framework on Higher Moments Volatility Modeling and Application*

摘要

higher moments of variables are defined and higher moments volatility models ,including single variable higher moments modeling and binary variables higher moments modeling are set up by virtue of high-frequency data &realized volatility theory. Based on higher moments volatility model, the theoretical framework on capital asset pricing model of higher moments (CAPM) is put forward .The relationship between higher moments CAPM and traditional CAPM is explained. It is turned out that higher moments CAPM could price financial risk more accurately than traditional CAPM.