The Prediction Research Of His Total Volatility And Jump Component Based On Vhsi

The volatility is a very important key variable among the financial and economic research, the prediction of asset return volatility is the key prerequisite information of the numerous investment decisions. Among the portfolio trading strategies, risk control, asset pricing of financial derivatives and monetary policy, we all need this critical information. Therefore, the forecast of the market volatility is a major task of the financial market.We selected VHSI that calculation based on the model-free implied volatility as the research object in this paper, empirical studies found:VHSI encompasses the all information of GARCH and GJR-GARCH volatility models by regression-encompassing test, but we cannot draw a firm conclusion whether VHSI encompasses the all information of SV volatility model; By the orthogonal method, whether or not to consider time-varying volatility risk premium, VHSI forecast its own historical volatility information is effective, VHSI encompasses the all information of history volatility models; Regardless of the risk premium is constant risk premium or time-varying risk premium, VHSI subsumes historical jump information; VHSI reflects some incremental information relative to history volatility model forecasts pertaining to future jump. Therefore, we can say that VHSI is an effective forecast for future market volatility.