沪深300股指期货价格影响因素及价格预测

Factors Infl uencing Prices and Price Forecast of the Shanghai and Shenzhen 300 Stock Index Futures

沪深300股指期货为我国金融市场提供了价格发现和风险规避等功能,但是其价格波动较大,容易增加投资风险,因此探究其影响因素和预测价格具有重要意义。本文通过建立VAR模型和GARCH族模型对价格影响因素进行分析和预测。研究表明:沪深300股指期货价格受金融市场因素影响最小但其关联性明显,宏观经济运行状况对期货价格影响显著且持续时间较长,消费者心理会对期货价格产生显著正向影响。价格预测中EGARCH(1,1)模型预测结果的平均相对误差为0.0002,说明预测精度高。

The Shanghai and Shenzhen 300 stock index futures provide functions such as price discovery and risk aversion for China’s fi nancial markets,but their prices fl uctuate greatly and tend to increase investment risks,so it is of great signifi cance to explore its infl uencing factors and price forecast.In this paper,the infl uencing factors of prices are analyzed and predicted by establishing the VAR model and GARCH family models.The research shows that the prices of the Shanghai and Shenzhen 300 stock index futures are least aff ected by fi nancial markets,but its correlation is obvious;the macroeconomic operation has a signifi cant impact on futures prices and lasts for a long time,and consumer psychology will have a signifi cantly positive impact on futures prices.In the price forecast,the average relative error of the forecast results of the EGARCH(1,1)model is 0.0002,indicating that the forecast precision is high.