沪深300波动率指数的编制及功能研究

发布时间：2018-04-08 20:00

本文选题：波动率指数　切入点：GARCH模型　出处：《云南财经大学》2013年硕士论文

【摘要】：波动率是用于衡量风险的概念，广泛应用于资产定价、风险管理等领域，其被定义为一段时期内收益率的标准差，投资者可以通过根据市场的波动率来制定自己的投资决策。当前世界上衡量市场波动率水平最常用的是波动率指数，世界上第一个波动率指数是由1993年芝加哥期权交易所推出的VIX指数，发展至今已成为衡量美国股票市场波动性的基准指标，目前世界上许多国家也推出了波动率指数。目前公认在美国市场上，VIX指数有三大功能：一是衡量市场风险；二是作为投资者恐慌指数；三是预测股市走势的领先指标。同时投资者还可以运用VIX指数期货和VIX指数期权等衍生品进行风险管理和资产配置。波动率的预测有历史波动率法和隐含波动率两种方法，美国的波动率指数是按照隐含波动率的方法来编制的，这与其证券市场上成熟的期权交易背景有关，但我国当前的市场上尚无期权交易，权证现在也退出了交易市场，剩下含有期权性质的金融工具只有可转债，但其市场定价往往背离其理论价格。于是本文选择历史波动率法来编制沪深300指数的波动率指数。历史波动率法就是利用过去的信息总结出规律，然后来预测未来。本文选用了最常用的GARCH（1,1）模型来预测波动率，，然后编制从2006年1月4日到2013年3月4日沪深300指数的波动率指数，通过分析我们发现：首先，波动率指数作为衡量市场风险的指标，对同期股票市场的走势有一定的解释能力，但与美国的波动率指数不同的是，我国的波动率指数与股市之间并非呈反向趋势，此外在分析中发现2010年下半年以后市场整体的波动性水平有所下降，这说明我国建立做空机制这一政策的有效性；其次参照CBOE的分析方法，分析发现当预测波动率较当日出现大幅上涨时，下一个交易日股市通常会大幅波动，其中出现下跌的概率更大，因而波动率指数也可以作为我国的“投资者恐慌指数”；最后，通过观察2006年以来的牛市见顶和熊市见底阶段波动率指数的走势，发现波动率指数在分析牛市见顶和熊市见底时有一定的参考意义。文章的最后基于研究结论提出相应的政策建议：第一，研究推出波动率指数，有助于投资者制定决策；第二，健全融资融券制度，建立更为完善的卖空机制；第三，适时推出股票期权等衍生产品，提升金融市场的运行效率，同时是利用隐含波动率编制波动率指数的前提；第三是加强投资者教育，让波动率指数成为投资者衡量市场风险的参考，更好发挥投资者监管的作用。
[Abstract]:Volatility is a concept used to measure risk, which is widely used in asset pricing, risk management and other fields. It is defined as the standard deviation of yield over a period of time. Investors can make their own investment decisions according to the volatility of the market.At present, the most common measure of market volatility level in the world is the volatility index. The first volatility index in the world is the VIX index launched by the Chicago options Exchange in 1993.Up to now, it has become the benchmark to measure the volatility of the U.S. stock market. At present, many countries in the world have also introduced the volatility index.It is now accepted that the VIX index has three main functions in the U.S. market: measuring market risk, acting as an index of investor panic, and forecasting leading indicators of stock market movements.Investors can also use derivatives such as VIX index futures and VIX index options for risk management and asset allocation.There are two methods to predict volatility: historical volatility method and implied volatility method. The volatility index of the United States is compiled according to the implicit volatility method, which is related to the mature background of option trading in its securities market.However, there is no option trading in the current market in our country, and the warrants have now withdrawn from the trading market, leaving only convertible bonds as the financial instruments with the nature of options, but the market pricing often deviates from its theoretical price.So this paper chooses the method of historical volatility to compile the volatility index of Shanghai and Shenzhen 300 index.Historical volatility method is to use the past information to sum up the rules and then predict the future.In this paper, we choose the most commonly used GARCH1) model to predict volatility, and then compile the volatility index of CSI 300 from January 4, 2006 to March 4, 2013. Through the analysis, we find that: first,Volatility index, as a measure of market risk, has a certain ability to explain the trend of stock market in the same period. However, unlike the volatility index of the United States, the volatility index and stock market in China do not show a reverse trend.In addition, it is found that the volatility level of the market as a whole has decreased after the second half of 2010, which shows the effectiveness of the policy of establishing a short selling mechanism in China. Secondly, referring to the analysis method of CBOE,The analysis shows that when the forecast volatility is higher than that of the same day, the stock market usually fluctuates sharply in the next trading day, and the probability of falling is higher. Therefore, the volatility index can also be used as the "investor panic index" in our country.By observing the trend of volatility index in bull market and bear market since 2006, it is found that volatility index has a certain reference significance in analyzing bull market peak and bear market bottom.Finally, based on the conclusions of the paper, the corresponding policy recommendations are put forward: first, research on the introduction of volatility index to help investors make decisions; second, improve the margin financing system, establish a more perfect short selling mechanism; third,Timely introduction of derivative products such as stock options to improve the operational efficiency of the financial market, at the same time is the use of implied volatility to compile volatility index premise; third, strengthen investor education,Let volatility index as a reference for investors to measure market risk, better play the role of investor regulation.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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