Research And Empirical Study On High Frequency-Data Volatility Model

With the maturity of the domestic options market,as a financial derivative,option has gradually become an important investment and risk management tool in the market.Volatility,as the core pricing factor and perceptual variable of options,has aroused extensive research and discussion in the industry and academia.In addition,the acquisition of high-frequency data has deepened the research level of volatility.People's perception of volatility has surpassed the historical volatility based on daily closing price calculation,and began to pay more attention to the higher-frequency price volatility during one day.This paper hopes to make an empirical study on the rebar futures products in the domestic futures market based on the analysis and comparison of the internal structure of the Realized Garch model and the basic Garch model,and compare the volatility prediction effects brought about by the different structure of the model's difference.In addition,in order to further consider the practical significance of the volatility study.In this paper,the volatility results predicted by the Garch model and the Realized Garch model are used as the option hedging volatility,and then the dynamic hedging method of five-minute frequency is used to duplicate the options,and the hedging effect of the two is compared.The hedging results show that the Realized Garch model has a higher degree of inclusion of new price fluctuation information,and the predicted volatility change is closer to the true volatility than the Garch model.The overall hedging effect is therefore better than the Garch model.