The Intertemporal Arbitrage Tactics Design And Empirical Analysis Of China Stock Index Futures Based On The AR-EGRACH Time-varying Model In The High Frequency Data Environment

IN April2010, after years of theory study and preparation, China first stock index futures contract-CSI300stock index futures contracts-officially appeared on the market, which symbolized China’s capital markets taking an important step to mature markets. The stock index futures played an important role on stabilizing marked prices, which could prevent steep market slumps and booms, conducive to the long-term stability of the financial markets and is the essential factor to maintain the normal operation of the market. China stock index futures listed time is short, but the trading accounts increased rapidly. According to the2012FIA annual report of the global financial derivatives market, the trading volume of world equity index futures and options in2012decreased by14.4%compared with2011, but China CSI300stock index futures trading accounts broken the trend growth of85.8%and ranked16th in the world’s major stock index futures and options trading volume. Therefore, China CSI300stock index futures price discovery law study, based on mining arbitrage trading opportunities, has important practical Significance, because it could not only help the investors to got stable income beyond the market but also help the regulators to regulate the capital market operation.The fluctuation of stock index futures contract logarithmic spreads is characterized of time-varying and gathering under high frequency data. Optimized AR-EGARCH time-varying model is adopted in this article to analysis one minute frequency spread fluctuation data of China stock index futures contract, which aims to construct a combination model of calendar spread arbitrage investment and to establish the corresponding transaction strategy. After the study of non-sample data by real comparison, it is found that the calendar spread arbitrage model and transaction strategy, which is established based on the AR-EGARCH time varying model, take a good prediction effect with accuracy rate of60%to the fluctuation of stock index futures logarithmic spreads when nearing the transaction day. The time varying and gathering characteristic to the fluctuation of stock index futures contract logarithmic spreads is well caught in the high frequency data environment. Moreover, it would be got the calendar spread arbitrage successfully.