Research On HS300 Index Fluctuation Character

There is the true meaning of short mechanism on china's stock markert for hina stock index futures. It is practical to study the Volatilities of Shanghai and Shenzhen 300 index which is the Spot target of the futures. we use GARCH model to study the Volatilities characteristics in short-term, such as GARCH effect,cluster and leverage. Hurst index demonstrate the long-term memory,Brownian motion and Mean eversion. Empirical Study shows that Shanghai and Shenzhen 300 index is Mean Reversion. It is important to make Shanghai and Shenzhen 300 index multiresolution analysis by Discrete wavelet transform so that it can obtain the localization characteristics both in time domain and frequency domain which makes the Volatilities in short-term, interim, long-term and Scale together. At last, we set a Moving Average Regression Model Based on Scale-Volatilities characteristics of Shanghai and Shenzhen 300 index which obtained Discrete wavelet transform.