An Empirical Study On Volatility Of Shanghai 50ETF

Rapidly-developing financial market attracts a large number of investors to trade.There also be risks when investors are likely to gain profits from trading.However,the volatility is important indicator for measurement of risk,it has always been one of the core content of the financial field research.On February 9,2015,China's financial market,the first option products 50ETF SSE is officially listed on the Shanghai Stock Exchange which means Chinese financial market officially entered into the age of options.By studying the change rules of the volatility of the 50ETF SSE option,it not only has important theoretical and practical significance to the management and avoidance of market risk,but also has a profound impact on the development of China's options market.For three different data,the paper uses appropriate volatility calculation methods do empirical research in it to analyze market characteristics of 50ETF volatility.First,we select the daily return series of 50ETF and use the GARCH model and EGARCH model to estimate the historical volatility of the 50ETF respectively.It shows that the SSE 50ETF volatility has these features like "leptokurtosis",volatility clustering and leverage effect from the model results and the timing chart of historical volatility.Secondly,we selected the 5-minute high-frequency price data of the 50ETF to calculate the realized volatility of the 50ETF,accordingly we establish the HAR-RV model and find that the 50ETF volatility has long memory.Finally,we use the data of SSE 50ETF option and B-S option pricing formula to calculate its Implied volatility and determine the final Implied volatility of the 50ETF option with weighted processing using Vega values.From the analysis of implied volatility of the 50ETF option,compared with call option,the relationship between the implied volatility of put option and the executive price shows a more obvious "volatility smile"phenomenon.When analyzing the relationship between implied volatility and the maturity period,we find that the closer the maturity,the greater the degree of implied volatility,the more dispersed performance.By comparing the empirical results of the volatility of three different data,we find that they have consistency in these features that like "leptokurtosis",leverage effect,long memory and "Volatility smile" phenomenon.Meanwhile,the fluctuation trends of these three kinds of volatility are similar,and each one is in line with the financial market environment.