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推出股票价格波动率指数旨在衡量市场的波动性水平,当今最有名的波动率指数是美国芝加哥期权交易所推出的波动率指数,该指数对投资者以及市场都具有深刻意义。本文欲构造反映我国A股市场全貌的波动率指数,但由于我国市场上并无期权交易,因此本文无法效仿国外编制波动率指数的隐含波动率法,而选用历史波动率法来进行波动率预测,通过对沪深300指数的分析,本文发现通过garch模型来预测波动率,进而编制波动率指数是可行的,从而提出我国应研究推出波动率指数的政策建议。
The introduction of the stock price volatility index is designed to measure the volatility of the market. The most famous volatility index today is the volatility index released by the Chicago Board Options Exchange, which is of profound significance to both investors and the market. In order to construct the volatility index that reflects the whole picture of A-share market in our country, this article can not emulate the implied volatility method of foreign volatility index because there is no option trade in our country, and choose the historical volatility method to conduct the volatility Through the analysis of Shanghai and Shenzhen 300 Index, we find that it is feasible to forecast the volatility through the garch model and then to make the volatility index, and then put forward the policy suggestion that China should study and introduce the volatility index.