沪深300期现货市场动态波动关系研究:基于VECM-GJR-DCC-MGARCH-t模型的视角

Dynamic Volatility Relationship between the CSI300 Futures and the Spot Market:Perspective from the VECM-GJR-DCC-MGARCH-t Model

在VECM-DCC-MGARCH模型基础上,以GJR形式考虑变量非对称作用、用t分布来描述股市数据的非正态分布特征,构建了VECM-GJR-DCC-MGARCH-t模型,并实证分析推出沪深300股指期货至今,沪深300期现货市场的动态波动关系。结果表明:沪深300期现货市场波动之间整体有较高关联性,但相关程度变化不定,在行情上涨时期两者关系大幅减弱;同时,现货市场波动对不利冲击的反应更敏感;现货市场过去意外冲击和过去波动都会抑制期货市场波动,而期货市场过去意外冲击和过去波动则会加剧现货市场波动。

Based on the VECM-DCC-MGARCH model,considering asymmetric effect through GJR form and using t-distribution to describe abnormal distribution characteristics,we proposes an improved VECMGJR-DCC-MGARCH-t model,and empirically analyses dynamic volatility relationship between the CSI300 futures and the spot market since establishment of CSI300 index futures.The results show that there exists a high correlation between CSI300 futures and spot market volatility as a whole,but the correlation varies.In particular when the market quotation goes up,their correlation significantly reduces.Furthermen,the spot market＇s reactions to negative influence is more sensitive.Finally,past unexpected volatilities and past volatilities in the spot maket weaken the fluctuations of futures,though past unexpected fluctuations and past fluctuations in the futures strengthen the spot market volatilities.