基于异构自回归模型的恒指波动率指数的建模与预测

Forecasting Hang Seng Index Volatility with Heterogenous Autoregressive Model

运用异构自回归(Heterogenous Autoregressive)模型,本文研究了恒指波动率指数的周内效应和溢出效应,以及对恒指波动率指数的预测是否有助于投资实践的问题。研究结果显示,恒指波动率指数呈现出周一上涨,周五下跌的特征,具有明显的周内效应。此外,结果还验证了标准普尔500指数对恒指波动率指数有明显的溢出效应。最后,本文运用异构自回归模型对恒指波动率指数进行预测,并结合实际的市场数据做了期权交易模拟。结果显示,恒指波动率指数预测能为期权交易带来较好的收益。

This research investigates whether the implied volatility index can be predicted with day-of-week effect,spillover effect and long-term-memory by using HAR models.The results show that Hang Seng Index volatility(VHSI) tends to rise on Mondays and decline on Fridays,which indicates the day-of-week effect.S&P 500 index shows significant spillover effect to VHSI.Moreover,in this research,the issue whether the prediction of implied volatility can provide added value to practitioners and retail investors alike is explored.The result suggests that option trading based on volatility prediction is practical for option traders.