Research Of Volatility In Stock Index Futures Market Of China Based On MEM

The global financial crisis which broke out in the end of2008had influenced the world’s economy.This crisis indicated the huge loophole on the supervision of financial risk which evoked the discussion of financial innovation and financial supervision.On Apr16,2010,the trading of stock index futures was permitted in China.This varied the kinds of product in Chinese capital market while bringing out a new problem to the Chinese system of supervision.The high frequency financial data econometrics has been a important branch of financial econometrics and financial engineering since1990’s.The modeling of the volatility of high frequency data was a main branch which aimed at analyzing the feature of volatility of financial markets by setting up the proper models. Multiplicative Error model(MEM) was put forward by Engle(2002).It was proper for high frequency financial data which was non-negative.This paper researched the volatility of Chinese stock index futures market based on MEM.The following is the main work and innovation of this paper:1、Set up Multiplicative Error Model(MEM) with the Realized Volatility of stock index futures contract.Take different distributions of stochastic error term into consideration and make a simple comparison of different situations.2、Xu (2004)、Guo (2006) put forward Adjusted Realized Volatility(ARV) and Weighted Realized Volatility(WRV)since Realized Volatility (RV) appeared in1998.They both proved their method was better than RV.But there’s no paper aimed at comparing the statistical features among3measurable methods nor modeling them with a same model.This paper does comparison of statistical features of RV,ARV and WRV using stock index futures contract and the modeling result with MEM.3、Set up Threshold Multiplicative Error Model (TMEM)based on the main idea of Threshold Autoregressive Conditional Duration (TACD) and uses it to modeling with the RV of stock index futures contract.This paper was the part of the project "The Analysis of Financial Market Based on MEM(No:70901055)of National Natural Science Foundation of China.