中国波指的动态特征及具体应用.pdfVIP

涓浗娉㈡寚鐨勫姩鎬佺壒寰佸強鍏蜂綋搴旂敤 闄 绯伙細缁忔祹瀛﹂櫌 涓 涓氾細閲戣瀺涓撶-鍩洪噾绠＄悊 瀛 鐢燂細閲戝惈 鎸囧鑰佸笀锛氬紶瀹楁柊 鏁欐巿 鏃 闂达細2018 骞? 鏈? 鏃 銆婃姇璧勫銆嬭绋嬭鏂 涓浗娉㈡寚鐨勫姩鎬佺壒寰佸強鍏蜂綋搴旂敤 鍐呭鎻愯锛?015 骞翠笂浜ゆ墍鍙戝竷鍩轰簬涓婅瘉50ETF 鑲＄エ鏈熸潈缂栧埗鐨刬VX 鎸囨暟锛屼互浼拌鎶曡祫 鑰呭鏈潵30 澶╁競鍦烘尝鍔ㄧ姸鍐电殑棰勬湡銆傛湰鏂囬€氳繃鍚勬尝鍔ㄧ巼鐞嗚鐨勪紭鍔ｅ垎鏋愶紝鍙戠幇鏃犳ā鍨嬮殣鍚 娉㈠姩鐜囩浉杈冧簬鍘嗗彶娉㈠姩鐜囧拰宸插疄鐜版尝鍔ㄧ巼鏇磋兘鍙嶆槧鏈潵涓€涓湀鐨勫競鍦烘尝鍔ㄩ鏈燂紱閫氳繃 ARMA-GARCH 妯″瀷鐨勫疄璇佹楠岋紝鍙戠幇iVX 鎸囨暟涓庢爣鐨勬寚鏁版敹鐩婄巼闂翠笉瀛樺湪璐熺浉鍏冲叧绯伙紝 浣嗗瓨鍦ㄩ潪瀵圭О鎬э紝涓旂編鍥借偂甯傚澶ч檰甯傚満瀛樺湪鏄捐憲鐨勬孩鍑烘晥搴旓紝骞舵彁鍑篿VX 鎸囨暟鍦ㄩ闄╅ 娴嬪強娉㈠姩婧㈠嚭鏂归潰鐨勫簲鐢ㄣ€ 鍏 閿 璇嶏細娉㈠姩鐜囨寚鏁帮紱鏃犳ā鍨嬮殣鍚尝鍔ㄧ巼锛涙尝鍔ㄦ孩鍑 The Dynamic Characteristics and Specific Application of Volatility Index in China Abstract: In 2015, the SSE issued the iVX Index based on the SSE 50ETF Stock Options to estimate investors鈥 expectations for market volatility over the next 30 days. Our analysis of the merits and demerits of different volatility theories shows the model-free implied volatility is better than the historical volatility and the realized volatility for one-month estimation period. Our empirical test based on ARMA-GARCH model suggests no negative correlation but asymmetry effect between iVX index and the underlying index yield, and the U.S. stock market has significant spillover effect on the mainland market. Besides, the application of iVX index in risk prediction and volatility spillover effects are proposed. Keywords: Volatility Index 锛汳odel-Free Implied Volatility 锛沄olatility Spillover 銆婃姇璧勫銆嬭绋嬭鏂 鐩綍 涓€銆佸紩瑷€鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯锛?锛 锛堜竴锛夐€夐鑳屾櫙涓庣爺绌舵剰涔夆垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯鈭欌垯