Analysis Of Volatility Of CSI300Stock Index Futures

Stock index futures in China launched in April16,2010has played an increasinglyimportant role in financial markets. Therefore, the research on analysis and forecasting of thestock index futures market has important theoretical significance and application value.This paper examines the effects on the volatility of the Stock Index Futures in China.Time area of the data is from0ctober30,2006to February23，2012. the data into three parts,and the simulation trading session, the official trading session, simulation and formal tradingcombining parts.First, this paper introduces the research background, statistics, mathematics and financialknowledge, research ideas. We go on analysis the volatility of the CSI300stock indexfutures whth time series analysis method, especially the GARCH cluster model. We using theGARCH model with normal distribution, t distribution, GED distribution to analysis thevolatility of the stock price to the data with the effect of ARCH. We use GARCH-M modelsto examine the existence of “volatility spillove effect”; We also use TARCH and EARCHmodels to examine the existence of “leverage effect”. The main conclusions are as follows:(1)CSI300has significant volatility clustering, and has the volatility spillover effect andsignificant leverage effec in the data of the simulation stage (2) On April16,2010, officialtransaction data that does not have significant ARCH effect, this conclusion is not consistentwith some researchers, this paper carried out a detailed analysis.(3) simulation trading andofficial transactions transitional phase data have ARCH effect, but does not have a significantvolatility spillover effect and leverage effect. Finally, we use the model used in testing andforecasting. Test results are consistent with the aforementioned findings.