中文摘要：

提出了一种基于非参数波动测度的综合测度方法，该方法以已实现极差波动测度为基础，根据混合抽样模型（MIDAS）的思想，利用多元回归方法将基于高频数据的不同时间尺度的已实现极差波动测度组合成综合测度．通过对中国股票市场综合指数分析，发现利用综合测度方法可以更好描述高频数据的波动行为．

英文摘要：

A non-parameter and comprehensive volatility measurement method based on realized rangebased volatility is presented to describe volatility dynamics. According to the theory of mixed data sampling （MIDAS）, the comprehensive measurement method can be found by multiple regression analysis and high-frequency data at different frequencies. Through empirical analysis of Chinese Stock Market index, it is confirmed that the comprehensive measurement method is a better way to describe volatility of high-frequency data.