Based On The Research Of The ShangHai 50ETF Realized Volatility

The research on the volatility of financial assets,which is a very important basis for risk analysis and asset pricing in the financial markets,and therefore,the analysis of the volatility rate is an important part of the study of the financial market,and it is mainly studied by quantitative methods to make it more widely used.The rapid development of science and technology level,prompting scholars research on volatility also gradually in-depth.At present,we are in an information age,and the occurrence of high-frequency data has opened a new direction for the study of volatility.Therefore,the realized volatility based on high-frequency data has become a hot issue in recent years.Based on heterogeneous market hypothesis theory of heterogeneous autoregressive(HAR-RV)realized volatility model has great advantage compared with traditional model,the model is mainly describe the traders of the assets held different length the current point of realized volatility.In this paper,on the basis of introducing the overnight yields the influence factors,using the adjusted realized volatility appropriate improvements were made on the original model,got the HAR-ARV model,the leverage of price due to the financial assets and the asymmetry of information,and introduced the EGARCH model,made with the combination of HAR-ARV model constructed HAR-ARV-EGARCH model.In February 2015,the Shanghai stock exchange 50 ETF option launched by the Shanghai stock exchange has taken a huge step in the development of financial derivatives in China.At present,there are relatively few relevant researches.Therefore,this paper selects the Shanghai50 ETF as the research object,the sample interval for August 5,2015 to November 30,2017 Shanghai 50ETF 5 minutes closing price,and the HAR-ARV model and HAR-ARV-EGARCH model are used for empirical analysis,and the results of the two models are evaluated by the loss function indicators in the sample and out of the sample prediction.The analysis results show that the HAR-ARV-EGARCH model can effectively eliminate the ARCH effect of the HAR-ARV model,and it is more accurate to adjust the realized volatility.