The Research On Volatility Of Index Futures Market Of China

Stock index futures is one of the financial futures which is on the stock price index, Is essential in financial derivatives, and a kind of success, is also the shortest age but the fastest development of financial derivatives. At present, as a relatively mature international capital market risk management tools, the performance of the stock index futures playing its role is becoming more and more obvious. On April 16, 2010, our country first in Shanghai and Shenzhen 300 index for the subject matter of the stock index futures contracts in the formal launch of the China financial futures exchange has opened the prologue of stock index futures market development in our country. Launching of stock index futures will promote the vigorous development of the financial market in China, it’s launch tools can be used to not only provide reliable portfolio risk management, also can provide investors with hedging opportunities, but also can carry the operation, so as to obtain the risk-free return. In addition, the launch of stock index futures can also help to perfect our stock spot price formation mechanism, promote the healthy development of China’s financial markets.This paper uses econometric models and methods on the basis of detailed discussions on the following questions: First, Making introductions on the main characteristics and functions of the stock index futures market. Second, adopt a measuring model of Markov state transition to portray volatility characteristics of stock index futures market. Third, based on the previous two aspects, compare the CSI300 stock index futures and international mature market volatility characteristics of the similarities and differences.First of all, this paper based on the parameter estimation of MCMC MRS-GARCH model to describe volatility characteristics of CSI300 stock index futures, and compare with general GARCH model, and through the empirical analysis to get our conclusion. Secondly, in MRS asymmetric model- EGARCH model, on the basis of through comparison and analysis, found that the domestic stock index futures market and international mature market commonness and difference between analysis reasons and put forward suggestions.Through research, the main conclusions of this paper are: the CSI300 stock index futures market yields fluctuations in two states, fluctuations in different conditions are significantly different, and the duration of the state of low volatility is relatively longer; while the market change is more likely to yield from high volatility state transition to the low state. Compared with the international market, the Shanghai and Shenzhen 300 index futures market has something in common, that is, asymmetric effect is obvious, and the bad news are more likely to bring fluctuation, and the characteristics and the asymmetry are completely different from the spot market. Also, differences exist obviously: high fluctuation in the foreign market status usually occurs in the volatile market stage, state of low volatility tend to correspond to market stability and rising stage. While in the market of China, when the market is better much more drastic fluctuations in the market downturn phase the volatility is low. So, we get the conclusion that the market currently in our country is in a less mature stage, and the space is very a big progress.