我国波动率指数预测能力研究——基于隐含波动率的信息比较

Study on Forecasting Ability of Chinese Volatility Index(iVIX) :Based on Information Comparison of Implied Volatility

为分析我国波动率指数核心指标的信息有效性,使用包含回归法等方法来判断我国波动率指数的预测能力,通过构建并比较了无模型偏差的隐含波动率、已实现波动率和GARCH族模型波动率后,分别比较了这几类波动率在不同期限的预测效果。实证结果表明,上海证券交易所公布的中国波动率指数(i VIX)在预测未来一个月市场风险的能力要强于历史已实现波动率与GARCH族波动率,但是其预测能力不及发达国家有效,原因在于我国期权市场并非完全有效市场。

The purpose of this paper is to analyze the information validity of the core indicators of Chinese volatility index and to use encompassing regression method to judge the forecasting ability of Chinese volatility index.We compare the model- free implied volatility,realized volatility and the volatility of the GARCH model,then compare the predictive results of these types of volatility with different terms. The empirical results show that the i VIX issued by the Shanghai Stock Exchange has better forecasting ability than the realized volatility and GARCH-baesd volatility in the following month. But its forecasting ability is less effective than the developed countries,the reason is that Chinese option market is not fully efficient.