The Volatility And Correlation Between CSI300 Index And CSI300 Index Futures Based On Realized GARCH

In the recent years,due to the fluctuations in the international market and the sluggish domestic economy,some fluctuations have taken place in the development of the Chinese stock market.The thesis uses various high frequency volatility measurements and the Realized GARCH model to research on the volatility of CSI300 stock index spot market and the relation between the CSI300 spot and futures markets.First of all,the thesis takes HS300 as the research sample,using Realized GARCH model and other three basic forms of volatility,taking into account the CSI300 nontrading information based on four distributions,the normal distribution,t distribution,skewed-t distribution,and generalized hyperbolic distribution.The model fitting result is used to predict the VaR of the CSI300 to evaluate the advantages and disadvantages of the model.The empirical results show that taking into account the overnight price and lunch break is not conducive to improving the model fitting effect,but can improve the model risk prediction.Secondly,this thesis uses the Realized GARCH model and the Copula function to better study the relationship between the CSI300 futures market and the spot market.In addition,in order to consider the dynamic characteristics of the related structure,this paper also uses the time-varying nonlinear method to study the dynamic correlation between CSI300 stock index futures and spot returns.The empirical results show that the t-Copula function is the best function of the relevance and the correlation between the two markets is inconsistent,and the dynamic.The nonlinear correlation method is more accurate in describing the correlation between the two markets,while the static Copula method overestimates the correlation.By studying the volatility of China’s CSI300 Index,investors in stock markets can help investors understand the short-term fluctuations of the Chinese stock market.At the same time,investors are also reminded to observe the volatility of non-investor information and trading hours which has the actual value of investment guidance.The time-related structure can reduce the risk and loss of hedging transactions by the operators in the CSI300 futures market,further emboding the meaning of "hedging".