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中文摘要：
对高频金融时间序列的“已实现”波动和“已实现”协方差提出相应的模型并建立“已实现”波动自回归移动平均模型和“已实现”波动向量自回归模型．同时，给出了高频时间序列持续性定义及相关性质．在“已实现”波动自回归移动平均模型基础上，从条件方差持续性的角度，讨论了条件方差的持续性对资产资本定价模型的影响．又进一步讨论了多资产组合条件下，“已实现”波动向量自回归模型持续性对组合投资的影响．给出了基于“已实现”波动自回归移动平均模型的实证分析，指出当模型具有单位根时条件方差对资产定价的影响是持续的．最后讨论了条件方差持续性质在金融分析中的现实意义．
英文摘要：
The corresponding models of realized volatility and realized covariance of time series of high-frequency finance are brought forward and the realized volafility-autoregressive and moving average（ RV-ARMA）model and the realized volatility-vector autoregressive （RV-VAR） model are set up. The persistence definition and correlative character of high-frequency time series are given at the time. Based on the RV-ARMA model, it is discussed that the persistence of conditional variances has a effect on capital asset pricing model （CAPM） from persistence viewpoint. Moreover, we analyze the persistence of multi-asset portfolio which follows a RV-VAR process. Based on the RVARMA model, the empirical analysis points out the facts that the conditional variances have a persistent effect on capital asset pricing in model with root. Finally, the realistic meaning of persistence character of conditional variances in finance analysis is discussed.
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