Study On Dependency Of Shanghai-Shenzhen 300 Futures And Spot Market Based On Copula Function

In recent years,financial markets have been volatile,with financial crises,global public health events,etc.having a significant impact on the volatility of financial markets.The volatility between countries and markets has become more closely linked,and the shock in one market can cause another market in another country to shake violently.Against the background that the volatility measure of financial markets is widely valued,we study the interdependence of the CSI 300 spot market based on the high frequency data of the CSI 300 spot market.Firstly,the Realized GARCH model is selected and the CSI 300 spot market is used as the subject of the study.Seven realized volatility measures such as RRt and RVt and three error term distribution assumptions such as t-distribution are selected to fit the Realized GARCH model,in which the overnight information and midday information are taken into consideration for the selection of realized volatility measures,considering whether the overnight information and midday information will improve the model’s performance.Second,based on the above optimal model selection,the Copula model is further used to study the static and dynamic dependence.The empirical test results show that: firstly,the interdependence between CSI300 futures and spot markets fitted by the t-Copula function is optimal;secondly,the dependence parameters of CSI 300 futures and spot markets fitted by the t-Copula function are 0.9570,0.9749,0.9611 and 0.9800 respectively.The mean values of dynamic dependence coefficients are calculated as 0.8846,0.8870,0.8406,and 0.8948,respectively.third,from an overall perspective,the static dependence and dynamic dependence mean values of the four sample intervals fit together.The study on the dependence of CSI 300 futures and spot market can help investors and investment institutions to have a deeper understanding and grasp of the short-term volatility of CSI 300,and also remind investors and investment institutions to pay attention to the disturbance of volatility forecast caused by non-trading time information,which has certain investment guidance significance.In addition,the study of the dependence of the static and dynamic dimensions of the CSI 300 futures and spot markets can help traders hedging the CSI 300 futures and spot markets to reduce their operational risks and further realize the functionality of futures hedging.