Research On Volatility Index Timing Strategy

For the stock market,investors often expect to get the maximum benefit under the acceptable risk level.They always focus on how to effectively predict market movements to avoid risks,formulate strategies,and obtain positive returns.The method that most commonly used and most effective is to predict market volatility and abnormal changes in the market to predict earnings in advance.Therefore,the relevant financial institutions have designed and compiled the volatility index as a tool to effectively measure volatility and tested abnormal market changes.At the same time,they provided investors with new financial derivatives that can effectively hedge risks and make investment arbitrage.Firstly,this thesis analyzes the origin,method of draw up,and application of the VIX index compiled by CBOE,the most widely recognized volatility index so far.And then analyze the relationship with the VIX index and the S&P 500.There are two obvious properties between them,namely,negative correlation and asymmetry property,and then the research and analysis of relevant strategies are carried out.Through analysis and verification,it can be concluded that there is an obvious negative correlation between the VIX index and the S&P 500,but there is almost no arbitrage value.And the other nature of them-asymmetry,can be a good tool for strategic research.The empirical analysis verifies the conclusion that the relative maximum value point of the VIX index can be used as the prediction signal of the S&P 500 index.It can be known that the current number of days of pushing is taken as about 30,and the number of future days of interval is about 10,the rate forecast will be relatively high and accurate.Because at this time can not only screen out enough relative maximum points,but also more clearly reflect the trend of yield.However,for the domestic market,the options product and volatility index were introduced relatively late,the development is not yet perfect,and the situation is rather special,so that in our research between the Shanghai 50 index and the iVX index did not show a significant negative correlation property in the selected time span.Relevance and asymmetry that previously applied to the US market strategy research method does not available to the domestic market.Therefore,in the study of the Chinese market,this article will turn to another market reverse index-variance risk premium,this index is obtained by the difference between the implied volatility and the actual volatility,can more accurately extract the irrational investors emotional change information,and through empirically tested,this indicator is applicable to the domestic market and can be used as a benchmark for quantitative research.