Research On Volatility Prediction Based On Commodity Futures Market

Volatility is an important indicator to measure the risk of financial assets,so it is of great significance to estimate and forecast volatility to guide investors' investment behavior and reveal the economic operation,and it is also the focus of domestic and foreign scholars.Therefore,this paper studies the prediction of the option contract and its underlying volatility based on the newly introduced soybean meal futures option.In this paper,soybean meal futures and futures options products are taken as research objects,high-frequency data and daily data of related products from August 2017 to the end of 2018 are selected for research.Firstly,the analysis of the three realized types of volatility of soybean meal futures indicate that there are obvious fluctuation aggregation phenomenon in the return sequence of soybean meal futures.Secondly,this paper measures the implied volatility of soybean meal option contract,and finds that the variation trend of synthetic implied volatility and realized volatility is basically the same in most time periods,and the ratio of them changes in a relatively stable interval.Thirdly,this paper respectively apply the GARCH model,Realized the GARCH model,ARFIMA Realized GARCH model to volatility prediction,in which this paper found that long forecast period can reduce the prediction precision,soybean meal futures volatility is associated with the information of the past time,and RRV is the best realized volatility measurement model to be selected.What's more,in the same case,the prediction effect of ARFIMA Realized GARCH model is generally better than that of the other two models,indicating that the prediction effect of the model is improved after considering the long memory phenomenon of soybean meal futures sequence.The prediction result of Realized GARCH model is better than that of the GARCH model in most cases,indicating that the prediction process can also be improved when realized volatility and implied volatility are included in the model at the same time and the leverage effect of the volatility direction of return rate are considered.Finally,this paper tries to design a soybean meal option trading strategy based on the volatility index.The result shows that using volatility index as trading signal can identify trading opportunities.