基于ARMA-GARCH的股指期货实证分析

An Empirical Research of Stock Index Futures in China Based on ARMA-GARCH Model

基于沪深300股票指数期货的时间序列数据,研究了股指期货收益序列的平稳性,建立了ARMA-GARCH模型,通过模型中的均值方程和波动方程,发现初期期货市场上的交易状况偏向于风险厌恶型,得到了收益变化的循环周期大约为3.6天,股指期货市场的波动存在ARCH效应和长记忆性特点。说明市场初期交易者对市场的信息反馈非常敏感和迅速,并且呈现出群体效应和连锁行为,有增大市场风险的可能。

Based on the series data of 300 stock indexes in Shanghai and Shenzhen Stock Market , the stability of the return series was studied;and ARMA-GARCH model for the return series was established .According to the mean equation and vola-tility equation in the model , it was found that the initial futures trading tend to be risk adverse players , and the business cycle of income was about 3.6 days, and the stock index futures market volatility presented ARCH effect and the characteristics of long memory.It showed that the feedback of information of the market is very sensitive and rapid at beginning and the group effect and chain behavior would increase market risks .