| Due to the effective response to the market panic during the financial crisis in2008, VIX has received widespread attention. Demand for measuring the future market volatility has spread from the United States to the world’s largest market. Therefore the world’s major exchanges have developed their own volatility index and related derivatives in late years. As the launch of stock index futures in2010, China’s financial derivatives market has developed rapidly. In January,2014, the China Financial Futures Exchange first released CVX index based on the CSI300stock index options simulated trading data, to measure the volatility of China’s stock market. On February9,2015, the list of Shanghai50ETF option, not only improves the attention and the demand of the volatility index, but also makes it possible to calculate. With the development of derivatives market in China, introduction of stock index option is just around the corner, thus making the study of corresponding volatility index urgent.This article first introduced the concept, origin, calculation method and basic characteristics of volatility index and its derivatives abroad, especially in US. Secondly, based on foreign experience, volatility index based on CSI300index is established from2005to2014. During the process, different window length of GARCH (1,1) model is used to estimate and forecast the volatility. Then we get the optima] forecasting volatility to compile the volatility index. Next, its negative and asymmetry correlation with underlying stock index is verified. In addition, VIX futures and VIX options as volatility index derivatives, their function of risk management and asset allocation during the financial crisis in2008is for empirically analyzed. Finally, research conclusion and some suggestions are put forward, in order to provide some reference for the development of volatility index and its derivatives in our country. |
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