Research Of Volatility Of Chinese Stock Index Futures Market Under The Condition Of High-frequency Data

Chinese stock index futures market plays an important role in price discovery,asset allocation and risk avoidance. In view of the weak foundation of Chinese stockindex futures market and the market increasingly competitive, being vulnerable toimpact of information, the futures price fluctuates violently, even cause the jump.How to accurately characterize and track the volatility of stock index futures market,as well as the study of the jumps and their dynamic rules of Chinese stock indexfutures market will play an important theoretical and practical significance in assetpricing, risk management and market regulation of stock index futures.In this paper, a set of measurement methods of the volatility of Chinese stockindex futures market under the conditions of the high-frequency data is presented,and the jumping behavior of the Chinese stock index futures market is studied. Theresults provide theoretical support for investors and regulators.We use three types of mainstream high-frequency volatility estimation methodsto estimate the volatility of the stock index futures market, and analyze in-depth ofthe volatility of stock index futures. Empirical evidence shows that high-frequencyvolatility of Chinese stock index futures market showing spikes, thick tail,non-normality and long memory characteristics. The ability of Realized RangeVolatility (RBV) to capture market jump is relative more significant.Considering the influence of market microstructure noise on the volatilitymeasurement, the jump point of China’s stock index futures market is detecteddynamically based on Realized Bipower Variation (RBV) theoretical framework.And, the height of jump, jump duration are studied. Empirical evidence shows that,China stock index futures market exists jump; jump amplitude and frequencyhopping and the investor’s risk preference related; jumping with clustering andtime-varying, jumping contribution tends smooth.Duration sequence is isolated from the jumping, the study found that China’sstock index futures market jump duration is exponential distribution, the number ofjumps subjects to Poisson process, and the ACD model can successfully simulateand forecast jump duration; by the influences of overnight information, lunch breaksystem, closing effect and the weekend effect, the volatility and the trading activityof the stock index futures contracts show significant and stable inverted "W" type,"L" type coexisted intraday mode.