| Volatility index has been used to measure the volatility of stock market since its birth,and it is also used to reflect the panic of stock market investors,in recent years,in order to prevent financial market crisis,the US financial market has made rapid development of derivatives of volatility index.With the sharp increase in trading volume of derivatives such as volatility index futures,the stock market has a certain effect,which makes people suspect that derivatives such as volatility index futures ETF will have impact on stock market..Therefore,based on the previous research on the volatility index and its related derivatives,the influence of volatility index futures ETF on volatility of volatility index is of great significance in theory and practice.Using qualitative and quantitative methods,this paper firstly introduces the development of American market volatility index and its derivatives,expounds the volatility mechanism and theory of ETF and stock market,and uses ARCH model,GARCH model and EGARCH model to analyze,and concluded that the volatility index of the volatility index can be exacerbated by the US volatility index futures ETF,and the measurement methods of ADF unit root test,AIC and SC test are used in this process.Furthermore,introduces the global stock market index and the domestic macroeconomic index and other variables to establish multivariate linear regression model quantitative analysis volatility index futures ETF volatility of volatility index,Finally,the inverse fact prediction method is used to compare and analyze the volatility index yield forecast and the real value of the volatility index of the market in real volatility index ETF.And further validated that volatility index futures ETF exacerbated the volatility of the volatility index by T test.Finally,the paper summarizes the content of the full text and causes analysis,and puts forward some related suggestions for the present situation of iVIX. |
PDF Full Text Request