| Issue |
E3S Web Conf.
Volume 235, 2021
2020 International Conference on New Energy Technology and Industrial Development (NETID 2020)
|
|
|---|---|---|
| Article Number | 02043 | |
| Number of page(s) | 5 | |
| Section | Industrial Technology Development and Industrial Structure Adjustment and Upgrading | |
| DOI | https://doi.org/10.1051/e3sconf/202123502043 | |
| Published online | 03 February 2021 | |
Implied Volatility Prediction Based on Different Term Structures: An Empirical Study of the SSE 50 ETF Options Market from High-Frequency Data
1
Shandong University, Center for Economic Research, Jinan, China
2
Hong Kong University of Science and Technology, School of Science, Hong Kong, China
a bert1204@126.com
b mjk550349403@126.com
This article focuses on the implied volatility forecast of the SSE 50 ETF options market from June 1, 2017, to August 30, 2019, and constructs AR (1) model and ARMA-GARCH model based on liquidity characteristics to compare and analyze the prediction effect of implied volatility on different option types and term structures. The results show that, during the sample period of the SSE 50 ETF options market, the effect of model fitting of the ARMA-GARCH model is significantly better than the AR (1) model; the fitting sequences predicted by the two models have typical time-varying and synchronization characteristics, and the prediction effect of the ARMA-GARCH model in the whole period is significantly better than the AR (1) model.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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