The Research On Volatility And Options Of Chinese Stock Market

In modern financial theory,the volatility has drawn more and more attention.As a risk metrics,volatility plays an important role in risk management,asset pricing.Volatility is also a key parameter in pricing of financial derivatives,such as optionspricing.In the background that SSE 50 ETF options havejust been launched,the research of stock market volatility characteristics has important theoretical and practical significance.Since the 1980 s,foreign scholars have researched deeply in volatility,especially in stock market volatility.However,Chinese stock market is immature since it was set up late,there are large gaps between Chinese stock market and mature foreign markets on the issues of stock market volatility and stock options implied volatility.It is inappropriate to applyforeign research findings on Chinese markets.This paper focused on Chinese stock market,and researched on volatility characteristics,volatility forecasting,option implied volatility,volatility arbitrage from the view of realized volatility and implied volatility.The main contents include the following aspects:First,this paper studied volatility characteristics of CSI 300 Index volatility in detail,including the distribution,serial correlation,long memory,mean reverting,date effect,structural changes,anchoring effect of volatility,and found that the volatility of the stock market between China and the U.S.have significant differences.In particular:the U.S.stock market volatility increases significantly when the market falls,while there was no significant change when pricerises,butour stock market volatility of significantly increased in upward trend and downtrend.Second,this paper researched on implied volatility of SSE 50 ETF options.The smile andskewness feature was described by SVI function.This paper also compiled SSE 50 ETF volatility index.Comparing with realized volatility,we found interaction between implied volatility andrealized volatility.Within 5 days from the due date,the evolution ofimplied volatility showed feature of sticky strike,within 5 days to two monthsbefore the due date,implied volatility has characteristic of sticky delta.Third,this paper studied the problem of volatility forecasting.Prediction models are proposed based on realized volatility and implied volatility,and we distinguished long-termvolatility forecastingfrom short-term volatility forecasting.We compared the predictive accuracy of each prediction model and found that starting implied volatility could predict future volatility better,especiallyweekly and monthly volatility.Fourth,according to the stochastic volatility model,this paper derived steady-state distribution of volatility and balanced implied volatility surface.From the difference of actualvolatility surface and steady-state distribution of volatility,we proposed a variety of options volatility arbitrage strategies on SSE 50 ETF options,and found that these effective strategiescan achieve significant benefits.