The Volatility Research In Chinese Stock Market Based On The Realized Volatility(HAR-RV) Model

The ups and downs of the stock market have long been the focus of the enterprise and individual attention,volatility in financial markets play an important role in the pricing of financial derivatives,trading strategies.Therefore,to build models to predict volatility has important practical significance.The current domestic and foreign scholars have done sufficient research on volatility model,but to add new explanatory variables in the model has been the important direction of developing model.In view of this,the purpose of this paper is to create the model to fit the change of volatility,and to improve the model to improve the prediction effect.In this paper,the high frequency return sequence of SSE 50 ETF is obtained,and the daily realized volatility is calculated to verify its long-term memory and lognormality.By calculating daily realized volatility,weekly realized volatility and monthly realized volatility are obtained,and the har-RV model is established to study its predictive effect on the volatility of China's stock market.Through in-sample prediction and out-of-sample prediction,it is verified that the HAR-RV model has certain predictive ability on the realized volatility of SSE 50 ETF.After acquiring the initial realized volatility(HAR-RV)model,the realized volatility model was expanded and the index of implied liquidity was added to the model as a new explanatory variable to improve the prediction effect of the model.This paper also believes that asset liquidity will affect realized volatility,and the option information implies investors' expectations of future liquidity.Therefore,in this article,through the parity formula to find the implied volatility index,verify the implied volatility and trading volume in the future 30,the sum is negative correlation.And add the implied volatility as a new variable HA-RV model,model improvement.After inspection,the improved model can significantly improve the accuracy of forecasting volatility.After improving the realized volatility model,this paper applies the improved realized volatility model into practice to hedge the option risk.Compared with the original realized volatility model,it is found that the improved model has better hedging effect.Verify its good practicability.