摘要
对于股票市场走势的分析是金融领域关注的核心问题之一,而准确的估计风险并进行合理的对冲也日益成为金融风险管理的核心内容之一.基于隐含波动率指数通过与S&P500之间相关系数分析,并通过历史隐含波动率指数和S&P500建立向量自回归模型,然后采用实际数据进行回归等实证分析得到一种通过隐含波动率指数预测股票市场走势的方法.
The analysis of the trend of the stock market has already become one of the core issues in the financial field,and the accurate estimation of the financial risk and reasonable risk hedging has become one of the core content of financial risk management. Based on the implied volatility index（ VIX） and the analysis of correlation coefficient between the SP500,the Vector Auto Regressive Model（ VAR） was established,to predict the stock market trend.
作者
赵越
韩雨桐
ZHAO Yue HAN Yu-tong(School of Banking and Finance, University of International Business and Economics, Beijing 100029, China)
出处
《兰州工业学院学报》
2016年第5期79-83,共5页
Journal of Lanzhou Institute of Technology
关键词
隐含波动率
风险对冲
相关系数
implied volatility
risk hedging
correlation coefficient
