| Along with the market economy vigorous development, the finance is getting higher and higher in the economical status. The Stock market also becomes the money market core day by day. Stock market's rapid development led the stock index stock this to grow the tool also rapidly to develop in various countries. The stock index gathers the stock market risk. The stock index uses the earnest money system, which has the high risk characteristic. If the system is imperfect, it will present the huge risk in some specific situations, and it will cause the financial system's chain-reaction.In our country, the stock index has become the mutual recognition. As the risk management and the control effective tool, it scientifically promotes the exchange derivation consummates of our country financial system from the emerging market economical country and the developing country development experience. The stock index is the first choice of the emerging finance derivation transaction. In addition, including 180 indices, 50 indices and Shenzhen Stock 100 index's each product already obtained the market widespread approval, and 300 indices also already develops successfully.The part research indicated that the futures market reduced the stock market fluctuation. For example Bessembinder and Seguin (1992) contrasted from 1978 to 1989 S& Around the P500 index stock promotes the situation, discovered that the futures market the introduction causes the stock market fluctuation property to reduce. The majority empirical studies indicated that the stock market fluctuation has not had the obvious change. Beckettihe and Roberts (1990) has studied 5& The P50 index stock and stock market's relations who believed that the stock index futures business volume was not to be able to reduce the stock market's fluctuation.In addition, some research thought that the futures market had increased the stock market fluctuation. Harris (1989) believed that the index futures market's transaction increased Stock market's fluctuation. Antoniou and Holmes (1995) indicated that the stock index futures transaction had enlarged the stock price fluctuation, but improved the stock market information reaction rate and the quality. Although the present scholar has not reached the consistent view, but the mainstream viewpoint believed that the index stock's introduction has not increased stock market fluctuation. The target markets of the thesis are the Chinese Taiwan market and the Indian market. After target market determination, this article will calculate the stock index fluctuation model, according to predecessor's research experience.In this article the concrete GARCH process mainly includes the following several steps:The first step is to analyze the logarithm index return ratio sequence correlation situation. The main examination's target is various lag phases autocorrelation coefficient AC, leaning autocorrelation coefficient PAC, the Q statistics and its corresponding P value. If some step lag's AC, PAC remarkable is 0, Q statistics big, its corresponding P value are small enough, and it may judge initially and not have this step autocorrelation. Synthesize various steps target, determine initially ARMA (p, q) model several groups of possible exponent numbers, and then carry on the process.The second step is to choose the appropriate ARMA model, and also to determine appropriate group of p, the q value: The model full (equation residual no longer has sequence relevance), the equation and the variable remarkable, and smallest AIC or the SC value.The third step is to examine ARMA model and the residual ARCH effect. It may judge through the residual square correlation coefficient tabulation or various steps ARCH-LM examination. If it exists, it may attempt the GARCH.The fourth step, from the low-order start, looked that its GARCH item and so on to be whether remarkable. Then we can examine its residual whether still to have the fluctuation cluster. If it exists, it increases the exponent number, until the residual defunct fluctuation cluster, and the model is full. Certainly, the GARCH coefficient's mark and the size must meet the requirement.The fifth step, EGARCH model estimation. If the EGARCH item is not remarkable, explanation condition variance to advantage good and favorable spatial news response symmetry, non-leverage effect: Otherwise, it has the leverage effect.According to Chinese Taiwan and two marketplaces of India, stock index future debuts the especially thorough inherent analysis causes on hand market fluctuations change condition. After analyzing India and China, two Taiwan stock markets releases the cause queen , the main body of a book that the stock index future front and back fluctuation changes will give in the homeland out countermeasure and suggestion that stock index future releases around the cash market stabilizing stock combining with Chinese stock market current situation. |
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