The Study On Volatility Of Soybean Meal Options

The research on volatility is important in the area of financial academia and industry,and the volatility is highly correlated with options.Soybean meal option is the first future option,also the first commodity option.Since it is newly launched,so it would be of great significance to study the volatility of soybean meal futures based on the implicit volatility of the option.And also,the trade war between China and America has caused many uncertainties in Chinese market,soybean meal,as the downstream product of soybean which depends heavily on imports,is heavily influenced.So,we analysis the impact of implied volatilities on soybean meal futures' volatility.And in HAR model,we consider the impact of exchange rate as well.This essay first discusses about the calculation methods of implied volatility and realized volatility,including three different ways of calculating implied volatility and two ways of realized volatility.Then we add the volatilities into HAR,GARCH,GARCH-MIDAS models as the exogenous variables to see the predictive power of different volatilities.In addition,based on MAE,MAPE,MSE,RMSE these four loss functions,we compare the forecast accuracies of different exogenous variables.The result of the statistics shows that three kinds of implied volatility have better prediction effect on realized volatility in the future,and their effect is better than that of realized volatility's delay terms.Also,the implied volatility corresponding to the main contract has better prediction effect on realized volatility in the short term,while the implied volatility obtained by variance swap method has better prediction effect on long-term volatility.Also,we adjust the variance swap method on the interpolation,and the adjusted implied volatility obtained by variance swap has better prediction effect.So it is reasonable for us to revise the 30-day interpolation to the 60-day interpolation.The predictive effect of the revised implicit volatility is better than that of the original one in most cases.In all,implied volatility is essential in the interpretation of futures' volatility.With the newly launched options,we can have a better forecast of volatilities of soybean meal market.