Volatility Of China 's Stock Index Futures And Its Contrastive Analysis

The establishment of The China financial futures exchange in September2006in Shanghai means that the financial futures market in China has entered a new eraof innovation and development，Stock index futures as one of the types of financialfutures officially listed on April16,2010, its official launch is one of the mostsignificant transitions in financial development in our country. Meanwhile, After18years,China’s national debt futures’ remarket in the history of Chinese financialfutures market is also a historic moment, but this time is not longer than Stock indexfutures and it isn’t representative, so the development of stock index futuresnaturally attracts people’s attention, the research of its volatility and risk of itnaturally became an important research topic, In order to study our country’sfinancial futures’ volatility and its degree of risk, this paper is to analyze this aspectof the stock index futures, according to the research of stock index futures’ volatilityin China, Stock index futures in China yield sequence structure changes, a singlewave model is not applicable, China’s financial futures market volatility is not stable,it is affected by external factors which will change the structure, at the same time,We know that in the international futures market. Although the commodity futurestrading volume is growing, but stock index futures has gradually became the mainfinancial futures varieties and occupied the lion’s share of the market, Relative to thedomestic market,its development is more mature. So we compare the domesticstock index futures risk values with foreign mature stock index futures (this paperchoose the standard&poor’s500index futures) risk value, Thus through concretenumerical value to understand the gap between the two, on this basis, we can perfectour country’s financial futures market, deep the reform of the capital market,perfecting the capital market system, it has the vital significance to the function ofcapital market. This paper first introduces the general situation of the development of stockindex futures in China, and illustrates the many twists and turns of financial futuresdevelopment course, points out the development characteristics and existingproblems of financial futures, Based on this, after the basic descriptive statisticalanalysis, we know that Stock index futures yield sequence (here take Shanghai andShenzhen300index futures yield sequence for example) has the characteristics ofthe obvious peak, thick tail. And logarithm yield sequence is not in conformity withthe normality assumption. The unit root test shows the yield sequence is smooth. Onthis basis, through the above introduction of a single GARCH model and Markovstate transition-GARCH model, The results showed that the state transitionGARCH model has more persuasion and explanatory power in fluctuationcharacteristics of yield sequence, Further it illustrates that there is the structurechange in yield sequence exists, China’s financial futures market volatility is notstable, the perfection of China’s financial futures market has a big space.At last, through to the Shanghai and Shenzhen300index futures volatilityanalysis, we compare and analysis on the risk of futures through two methodsaccording to the results of VaR value measure, The CSI300index futures risk valueis bigger than the S&P500index futures risk value, Domestic financial futuresmarket has still a certain gap with foreign mature market, the ability to cope withrisk has not been mature comparing to the markets abroad.