Abstract: Volatility is one of the significant features of the capital market. It is important to characterize the volatility of financial markets accurately which plays an important role in effective risk management and rational derivatives pricing. ETF50 option listing begins to attract wide attention from academics to focus on the volatility features of underlying assets. Therefore, in order to study the random jump behavior and the volatility features of Shanghai 50ETF market, non-Gaussian Levy-GARCH model is introduced, such as Merton jump diffusion model, combined with maximum likelihood estimate with Fast Fourier and back testing, compared with Shanghai composite index and Shenzhen composite index, to analyze volatility features of Shanghai 50ETF market. Return series of several markets in China during the period of 2005 to 2016 are investigated. Research results show that fat tail, long memory, clustering effect, conditional heteroskedasticity and random jump behavior are well reflected in Shanghai 50ETF market, meanwhile, leverage effect does not exist. For exploring reasons why this phenomenon exists, the analysis will be presented in the following aspects:industry characteristics, features of constituent stocks and market mechanism. These researches will contribute to further development about the issue of derivatives pricing and risk management based on open-end funds.

Key words: Shanghai 50ETF, infinite jump behavior, leverage effect, Levy-GARCH model