基于SV模型的股指期货杠杆效应实证研究

The Empirical Research Based on the SV Model with Leverage of Stock Index Futures

以我国股指期货是否存在杠杆效应为研究视角,利用具有杠杆效应的随机波动(Leverage-SV)模型对其收益波动进行分析,结果表明我国股指期货存在显著的杠杆效应。

It is analyzed for whether there is a leverage effect in stock index futures in China .Using sto-chastic volatility with leverage （ Leverage-SV ） model to analyze its earnings volatility , results show that there is significant leverage effect of stock index futures in China .