AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism
AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism
复制标题
DOI：
10.1002/fut.21824
复制
发表时间：
2017-04
影响因子：
1.9
通讯作者：
Zhenlong Zheng;Zhengyun Jiang;Rongjie Chen
中科院分区：
文献类型：
--
作者：
Zhenlong Zheng;Zhengyun Jiang;Rongjie Chen
本文提出了一种改进的无模型隐含变异指数（AVIX）。AVIX是在随机利率下的广义半鞅过程下开发的。提出了一种适应不同市场条件的自适应期权筛选机制。还考虑了股息保护的效果。对中国50 ETF期权市场的实证研究表明，AVIX比传统的VIX更能反映总隐含变异和投资者情绪。它对市场变化的反应更迅速、更灵敏。AVIX还包含有关未来波动率的更多信息，并提供对未来已实现波动率的更有效预测。© 2016 Wiley Periodicals，Inc. Jrl Fut Mark 37：374-410，2017
An improved model‐free implied variation index (AVIX) is proposed in this article. The AVIX is developed under a generalized semi‐martingale process with stochastic interest rates. An adaptive option screening mechanism is proposed to accommodate different market conditions. The effect of dividend protection is also considered. An empirical study of the China 50 ETF option market suggests that the AVIX is a better barometer of aggregate implied variation and investor sentiment than the traditional VIX. It reacts to market changes more rapidly and more sensitively. The AVIX also contains more information about future volatility and provides a more efficient forecast of future realized volatility. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:374–410, 2017