Volatility Of Stock Index Futures

It is a milestone that China Financial Futures Exchange begins trading the Hushen300Share Price Index Futures in April16,2010. It means Chinese stock market can take both long position and short position from then. The issue is not only to add a product for trading, but also to enhance and boost the capital market. Therefore, we should abandon subjectively trading which we did before, and try to turn objective financial theories into practice. It is necessary for us when investing derivatives.In this article, I do empirical research on the Hushen300Share Price Index Futures with both GARCH model and Hurst model. The result shows high frequency data do have a marked high kurtosis and fat tail characteristics. Besides, with the improvement of frequency, kurtosis is bigger. What’s more, under the different frequency data are all heteroscedasticity. The memory cycle of the time series is around5to7days.In additional, this article forecasts volatility values with GARCH model, and develops two program trading strategies. I try to trade depend on the volatility value I forecast before, and I find out it is really hard to gain profits only use short term volatility value and long term volatility value. The result is not what we expected.