Research on Risk Spillover Effect of SSE 50ETF Volatility Index Based on Arch Family Model
Download as PDF
DOI: 10.38007/Proceedings.0001293
Author(s)
Yuting Zhang, Jinying Xiang
Corresponding Author
Yuting Zhang
Abstract
With the rapid development of global economy, the risk of financial market is becoming more and more serious. The volatility index, which measures the expectation of market volatility, comes into being. This paper selects the Shanghai 50ETF volatility index data and the Shanghai 50ETF unit net value data from February 9, 2015 to June 9, 2017, constructs the optimal GARCH model and tarch model to conduct empirical research on the relationship between the Shanghai 50ETF volatility index and the underlying market impact, and draws the following conclusions: first, the operation of the Shanghai 50ETF volatility index is in line with expectations; second, the Shanghai 50ETF volatility index is in line with expectations Volatility index can stabilize the market, but the effect is not so good. Thirdly, there is a two-way volatility spillover effect between Shanghai 50ETF volatility index and Shanghai 50ETF unit net value. This paper aims to provide theoretical support for the majority of investors to avoid market risk according to the Shanghai 50ETF volatility index, and enrich the domestic research results on the Shanghai 50ETF volatility index, and on this basis, put forward suggestions on the Shanghai 50ETF volatility index for the time being
Keywords
Shanghai 50ETF Volatility Index; GARCH Model; TARCH Model; Spillover Effect