《投资学》课程论文 中国波指的动态特征及具体应用 内容提要:2015年上交所发布基于上证50ETF股票期权编制的X指数,以估计投 者对未来30天市场波动状况的预期。本文通过各波动率理论的优劣分析,发现无模型隐含 波动率相较于历史波动率和己实现波动率更能反映未来一个月的市场波动预期;通过 ARMA- GARCH模型的实证检验,发现ⅳX指数与标的指数收益率间不存在负相关关系, 但存在非对称性,且美国股市对大陆市场存在显著的溢出效应,并提出VX指数在风险预 测及波动溢出方面的应用 关键词:波动率指数:无模型隐含波动率;波动溢出 The Dynamic Characteristics and Specific Application of volatility Index in China Abstract: In 2015, the sse issued the ivX Index based on the sse 50ETF Stock Options to estimate investors'expectations for market volatility over the next 30 days. Our analysis of the merits and demerits of different volatility theories shows the model-free implied volatility is better than the historical volatility and the realized volatility for one-month estimation period.Our empirical test based on ARMA-GARCH model suggests no negative correlation but asymmetry effect between iVX index and the underlying index yield, and the U.s. stock market has significant spillover effect on the mainland market. Besides, the application of ivX index in risk prediction and volatility spillover effects are proposed Keywords: Volatility Index: Model-Free Implied Volatility; Volatility Spillover《投资学》课程论文 中国波指的动态特征及具体应用 内容提要：2015 年上交所发布基于上证 50ETF 股票期权编制的 iVX 指数，以估计投资 者对未来 30 天市场波动状况的预期。本文通过各波动率理论的优劣分析，发现无模型隐含 波动率相较于历史波动率和已实现波动率更能反映未来一个月的市场波动预期；通过 ARMA-GARCH 模型的实证检验，发现 iVX 指数与标的指数收益率间不存在负相关关系， 但存在非对称性，且美国股市对大陆市场存在显著的溢出效应，并提出 iVX 指数在风险预 测及波动溢出方面的应用。 关 键 词：波动率指数；无模型隐含波动率；波动溢出 The Dynamic Characteristics and Specific Application of Volatility Index in China Abstract: In 2015, the SSE issued the iVX Index based on the SSE 50ETF Stock Options to estimate investors’ expectations for market volatility over the next 30 days. Our analysis of the merits and demerits of different volatility theories shows the model-free implied volatility is better than the historical volatility and the realized volatility for one-month estimation period. Our empirical test based on ARMA-GARCH model suggests no negative correlation but asymmetry effect between iVX index and the underlying index yield, and the U.S. stock market has significant spillover effect on the mainland market. Besides, the application of iVX index in risk prediction and volatility spillover effects are proposed. Keywords: Volatility Index；Model-Free Implied Volatility；Volatility Spillover