Research On The Volatility And Correlation Of Chinese Financial Future Markets Based On Garch-Class Models

The integration of financial markets deepens along with its development. The launch of CSI 300 stock index futures and the restart of treasury bond futures both show that the Chinese financial market becomes more prosperous, as well as more perfect administration of financial market, which will lead more and more investors into the financial futures market. Then there will be strong demand for the relevant theoretical support from the investors and market administrators. At the same time, with the development of science and technology, changing of computer application technology makes it easy to get financial time series and also provides possibility for the further research and development of the financial time series theory.Because the launch time of CSI 300 stock index futures and treasury bond futures in China is not long, the research for the return rate of the two types of financial futures is not a lot. Is there any affection between the two kinds of financial time series return rate? How is the effect? Which kind of volatility model has the best effect to model the financial time series? All these problems have no accurate answer now. But apparently, these issues are very important for the investment portfolio, therefore, to perfect the research of the volatility and correlation of the financial futures is the original intention of forming this paper.Based on this, taking 15 minutes high-frequency data of CSI 300 stock index futures contract (code:IFLO) and treasury bond futures contract (code.-IFLO) as sample, this paper firstly carries on the statistical description of the price series, the return rate series and the realized volatility series of stock index futures and the treasury bond futures, and then discusses the problem that what kind of volatility models have the best estimating effect for financial futures volatility, uses eight GARCH-Class models (GARCH, IGARCH, GJR-GARCH and EGARCH, APARCH, HYGARCH, FIGARCH, FIEGARCH) to estimate the volatility of stock index futures and treasury bond futures, and also adopts the six loss functions (MSE, MAE, HMSE and HMAE, QLIKE and R2LOG) and D-M test to test the volatility imitative effect of GARCH-Class models. And finally it is concluded that there is no significant difference among the GARCH-Class models when estimating volatility, but the estimating precision of HYGARCH model has relative advantages in depicting the volatility stock index futures and treasury bonds futures.Even more, Based on the relatively optimal GARCH model, cointegration test, Granger-Causality test and Dynamic Conditional Correlation model are used in this paper to research the correlation and volatility spillover effect of the time series of CSI 300 stock index futures and Five-year Treasury bond futures to get the conclusion that a long-term equilibrium relationship exists between them, the stock index futures is the Granger reason of treasury bonds futures, and the volatility spillover effect between the two time series is very strong and give priority to with negative impulse. This conclusion is also conform to the relevant economic theory for a description of the capital marketFinancial futures market is a very important part of in the futures market, so the study on the volatility of financial futures market has very important practical significance. The research of this paper enriches the theoretical framework of financial futures market and provides a certain sense of reference for investors and administrators, as well as the reference value for the research of other scholars.The innovation point of this paper is discussing the estimating effects of the volatility models of financial futures markets, and on this basis, researching the correlation and the volatility spillover effect between the stock index futures market and the treasury bond futures market, which is not ever seen in other literatures.