The Measurement Of Implied Volatility Of SSE 50 ETF And Early Warning Research

After the subprime mortgage crisis,financial markets around the world have introduced a model-free implied volatility index(VIX)based on the variance swap method.The VIX index will peak when there is negative news in the market and it falls sharply.Therefore,the volatility index,also known as the panic index,is used to reflect the investor's panic mood and identify the stock market's down cycle.Studying the volatility index helps investors manage risk and helps market regulators and policy decision-making departments to formulate relevant policies,improve market conditions,and smooth economic fluctuations before market risks occur or in the early stages of risk emergence.The premise of the preparation of the VIX index is that the underlying asset price is subject to geometric Brownian motion and Ito Lemma.In reality,a large number of studies have shown that the underlying asset price does not fully obey the geometric Brownian motion.In the event of extreme market panic,the VIX index may not fully reflect the true volatility of the market.The risk-neutral expected rate of return can be expressed as a linear combination of option prices.The higher moments of the underlying asset yield can also be expressed in a similar way as a linear combination of option prices.The volatility index calculated by directly using the higher moments of the underlying asset yield is called the generalized volatility index(GVIX).Both the VIX index and the GVIX index are model-free implied volatility indices.The difference is that the premise assumptions are different.The GVIX index does not need to assume that the underlying asset price obeys the geometric Brownian motion and Ito lemma.This paper examines the application of these two volatility index calculation methods in China and provides investors and market regulators with a standard for warning market risk.This paper proposes to use different levels of volatility and stock index to divide market conditions and alert market risks.Empirical analysis shows that China's volatility index and stock index are not negatively correlated at any time.When the stock market skyrocketed,the stock price and volatility index both rose;only when the stock market slowly rose,the stock price and volatility showed a negative correlation.This shows that investors prefer the leverage of options rather than hedging options when the market falls.China's capital market still has a strong speculative atmosphere.Finally,the threshold vector autoregressive model is used to analyze the different effects of the volatility index on the stock price index under different characteristics.This paper determines the warning line based on the different thresholds of the volatility index.