Author(s)

Huilei Zhang

Corresponding Author

Huilei Zhang

ABSTRACT

This paper studies the volatility of short-term and long-term return of SSE 50ETF option after listing. By analyzing the daily closing price of SSE from February 9, 2012 to February 9, 2021, it is found that it is consistent with GARCH model. Then, the two interval return volatility is modeled by arma-garch model, and the long-term and short-term return volatility is compared by Monte Carlo simulation. It is found that after the listing of SSE 50 ETF options, the volatility increases compared with that before the listing, and the short-term return volatility is greater than the long-term volatility.

KEYWORDS

Arma-garch model, Return volatility, Monte Carlo simulation