Implied Volatility Prediction Based on Different Term Structures: An Empirical Study of the SSE 50 ETF Options Market from High-Frequency Data

This article focuses on the implied volatility forecast of SSE 50 ETF options market from June 1, 2017, to August 30, 2019, and constructs AR (1) model ARMA-GARCH based liquidity characteristics compare analyze prediction effect different option types term structures. The results show that, during sample period market, fitting is significantly better than model; sequences predicted by two models have typical time-varying synchronization characteristics, in whole model.