The Study, Based On Non-parametric Garch Model Hong Kong's Hang Seng Index Futures Yield

Our country's stock market is a fast development market,the financial derivation transaction like stock index futures is gathering the potential due-out,the sign index's selection is very important regarding the stock index stock's development.Under the market economy condition,stock market's investment has the risk,the people always hope that their investment can bring the repayment.Therefore the relations of the risk and the income have been the important topic which the investor and the researcher pay attention.Usually the people reduce the risk by the combination investments, but the combination investments can only reduce the non-systematic risk,but they are unable to dodge the systematic risk.To dodge each kind of risk effectively,thus people have developed into one of most active stock varieties as the circumvention systematic risk's tool,that is to say,stock index stock.Especially China has the development stock market phase,belonging to the emerging market,and the systematic risk accounts for the proportion to be very high.Such stock index futures market's research appears especially important.At the same time,since the stock market have been its price volatility for the salient features,how to accurately describe the stock market price behavior in order to determine the future of the market rate of return is that all investors and securities markets of individual stakeholders concerns.Thus,quantitative modeling of volatility is the volatility of financial assets of the core content of study,and it has also become a problem of concern to the academic community.In today's society,with the financial globalization and opening up the securities market,different correlation between the securities markets have become increasingly prominent,and different interaction between the stock market is how the role and mutual influence between the question to what extent such because of the researchers usually select data analysis methods and the use of different models so as to arrive at different conclusions.In this paper,to select the most influential of the Hang Seng Index futures for the study,through the use of normal distribution and the distribution of T under the GARCH model,as well as non-parametric GARCH model,it makes the three models fit the Hang Seng Index futures volatility yield quantitative modeling,thus in a dynamic VaR calculation,VAR validity testing,evaluation,prediction ability to compare several aspects.Therefore,the successful launch of China's stock index futures and securities market regulation and maintenance of our country's financial security to provide useful lessons and recommendations.