Research On The Volatility And Determinants Of Structured Fund

Since June 2014, China’s stock market has experienced an outbreak of a bull market and a depression of a bear market. The difference between this round and the other mainly depends on adding leverage and subtracting leverage. When it comes to the leverage in the stock market, structured fund is extremely significant. As unique financial derivatives in China, structured fund is increasingly popular with institutes and retail investors. In view of structured fund investors, this paper puts emphasis on volatilitys of two time series in earnings yield of the whole arbitrage and amount of increase of the B fund, and discovers its main determinant of top break stage, parity stage and fold down stage.First of all, this paper has an introduction of the theory of structured fund, an explanation of the mathematical connection between the various variables and a description of the characteristics of each stage. The structured fund researched in this paper belongs to financial time series, which can be commonly used by GARCH models and explain connections about support vector machine(SVM) test among the rate of whole arbitrage, the amount of increase of B price, the amount of increase of A price, the turnover rate of A, the increasing rate of share in A and B, the amount of increase of net value in B, the turnover rate of B, the leverage increasing rate of net value in B, the rate of premium and discount in A and B.Second of all, this paper has an instruction of structured fund modes, including ARCH mode, GARCH mode, GARCH-M mode, TARCH mode and EGARCH mode, which explain the characteristics of leveraged and asymmetric financial time series, the mode of least squares support vector machine(LS-SVM) and the operation of this mode.Thirdly, the verification of structured fund has been tested. On the one hand, two financial series involving the rate of whole arbitrage and the amount of increase of B price are tested by GARCH mode that verifies whether this two series has the characteristics of leverage and has greater volatility close to down fold than up fold. Because of the characteristic of leverage, this paper is expected to respectively do least squares support vector machine(SVM) modeling on top break stage, parity stage and fold down stage between the rate of whole arbitrage and the amount of increase of B price, calculating each variable stage of 1% increase and 1% decrease in measuring the effect of variable. According to main determinants, it shows instructions of data rationality.Finally, in conclusion, two pictures explain that investors need to pay attention to main factors on each stage. Owing to the falling of structured fund at present, the main risk is our incomplete data, but this researching and analyzing method will put forward more perfect strategy in the future. Wish to China’s structured fund and our country will have a higher, farther and better future in the next round of bull market.