Research On The Relationship Between CSI 300 Index And Index Futures Based On MEM Model

With the development of China's financial system,China's financial market has been further developed,the measurement of financial risk has brought new challenges in the new situation.Volatility,as an important feature of financial markets,is often used to measure the level of risk in financial assets.Volatility of the asset plays an important role in guiding the allocation and pricing of financial assets.With the establishment of China's futures market,the development of stock index futures is booming.The financial market in our country is not very mature,how the relationship between stock index futures and stock,how the market volatility spillover effect formed,many questions need us to study.In this paper,the background and significance of the topic are stated.By studying the existing literatures,the existing problems in the research are pointed out.Through the brief summary of the MEM model,it points out that the non-negative characteristics of MEM model.Then study the volatility spill effect between the stock and stock index futures market through the continuous and jump components,and positive and negative realized semi-variance.The VaR model measures the risk of the futures and spot market by using the continuous component,the jump component and realized volatility respectively.(1)The volatility spillover effect of the spot market on the futures market is larger;(2)The effect of volatility spillover between the spot market and the futures market is mainly embodied in the continuous component;(3)The positive semi-variance of the futures weaken the volatility of the spot market,the positive semi-variance of the stock index weaken the volatility of the futures market.The negative semi-variance of the futures enhance the volatility of the spot market,the negative semi-variance of the stock index enhance the volatility of the futures market;(4)It is shown that the volatility of spot increases the volatility of futures and the volatility of futures decreases the volatility of spot;(5)The results show that the partial t-distribution has better effect on the yield distribution,and the continuous component of stock index futures and spot volatility can be used as the volatility estimator to forecast the financial market risk.Finally,this paper points out the future research direction by analyzing its own shortcomings.