基于HAR模型的上证50ETF波动率指数特征及应用研究

发布时间：2018-06-02 20:31

本文选题：中国波指 + HAR模型　；参考：《金融发展研究》2017年07期

【摘要】：本文基于HAR模型对上证50ETF波动率指数(中国波指)进行研究。根据2015年2月9日至2017年2月16日中国波指运行的真实数据,构建一般HAR模型和扩展的HAR模型研究中国波指的特征。实证结果表明:中国波指具有显著的正周一效应;中国波指与上证50指数的收益负相关,且这种负相关具有非对称性。根据中国波指的预测结果,结合我国上证50ETF期权进行期权交易模拟发现,基于中国波指构建的期权投资策略能够取得较好的收益。
[Abstract]:Based on HAR model, this paper studies the 50ETF volatility index (Chinese wave index) of Shanghai Stock Exchange. Based on the real data of Chinese wave finger movement from February 9, 2015 to February 16, 2017, a general HAR model and an extended HAR model are constructed to study the characteristics of Chinese wave fingers. The empirical results show that the Chinese wave index has a significant positive Monday effect, and the Chinese wave index has a negative correlation with the return of the Shanghai 50 index, and this negative correlation is asymmetric. According to the forecast result of Chinese wave index and the simulation of 50ETF option trading in Shanghai Stock Exchange, it is found that the option investment strategy based on Chinese wave index can obtain good returns.
【作者单位】：中南大学商学院;
【分类号】：F724.5

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