Research On The Impact Effect Of The SSE 50 ETF Volatility Index Based On GARCH Family Model

On February 9,2015,the SSE 50 ETF option was launched.SSE 50 ETF Volatility Index,which is based on the SSE 50 ETF option contracts of recent and next recent months,was officially released on November 28,2016,as an indicator to reflect investors' expectation on the volatility of the SSE 50 ETF in the next 30 days.The risk indicator,which was supposed to represent market sentiment,was suspended on February 14,2018 for various reasons.In this context,it is of practical significance to study the impact of SSE 50 ETF Volatility Index on the spot market,especially the SSE 50 ETF spot market.This paper summarizes the development of volatility index,combined with fluctuation characteristics of financial assets and the theory of volatility spillover,analyzes the causes of volatility spillover effect.Then selecting February 9,2015 to February 14,2018 as the sample interval,and taking SSE 50 ETF Volatility Index and the SSE 50 ETF closing price as the sample data.This paper studies the volatility characteristics of SSE 50 ETF Volatility Index and the SSE 50 ETF spot market,and divides the sample interval into two parts: before and after the launch of SSE 50 ETF Volatility Index.Then building GARCH(1,1)model with virtual variable,find that the launch of SSE 50 ETF Volatility Index is conducive to the overall volatility of the SSE 50 ETF spot market,and can accelerate the efficiency of information transmission in the spot market.Based on the research of TARCH(1,1),EGARCH(1,1)model,it is found that bad news will make the market more volatile.In the analysis of spillover effect between SSE 50 ETF Volatility Index and the SSE 50 ETF spot market,The empirical study of the BEEK-GARCH(1,1)model with Win RATS software shows that there is a two-way spillover effect between the SSE 50 ETF Volatility Index and the SSE 50 ETF spot market,and the SSE 50 ETF spot market plays a more important role in the transmission of market information.Finally,based on the conclusion,this paper analyzes the reasons for the suspension of the publication of SSE 50 ETF Volatility Index and puts forward some policy suggestions,hoping that SSE 50 ETF Volatility Index will play a better role with the improvement of China's financial market in the future.