Research On Yield Volatility Characteristics And Hedging Of Stock Index Futures Market Based On High-frequency Data

Over the past decade,China's financial market has occurred more volatility and shocks,securities and futures markets are facing increasing uncertainty,How to correctly describe the volatility of the market and correct play a positive role in financial derivatives such as futures is of great practical significance to maintain the stability of financial market.In recent years,relying on high-frequency data research methods of stock index futures market hedging research and development,has made important progress,thus can more scientific hedge of financial assets,systemic risk,improve asset risk control level,to achieve asset portfolio risk minimization,Maximize the benefits.This paper first uses the high frequency data to explore the basic characteristics of the CSI 300 index futures market,including jumping,long memory and asymmetry,and combined with these basic characteristics of the CSI 300 market to establish a corresponding volatility forecasting model.Then Based on the dynamic binary hedging model in hedging research,And apply the realized volatility and Copula theory to the model,Compare the hedging effect of each model.Get the following conclusions:First,Analysis of the CSI 300 stock index futures market's 5-minute continuous high-frequency data,It is found that the volatility of the CSI 300 stock index futures market has obvious spikes and clustering characteristics.And found that the CSI 300 stock index futures market's 5 minute yields do not exist long memory,but the daily rate of return and the realized volatility have significant long memory.Second,it is found that there is a significant jumping characteristic of the volatility of the CSI 300 stock index futures market,and the proportion of the CSI 300 stock index futures market is about 21.5%through two different jump test methods.And found that 2016 CSI 300 stock index futures,whether from the jump or jump variance contribution ratio is significantly greater than the other years.Thirdly,through the Realized-EGARCH model,the CSI 300 stock index futures were analyzed for 5-minute high-frequency data.It was found that the CSI 300 stock index futures market had weakly leverage effect,and found that the asymmetric effect of the CSI 300 stock market is stronger than the CSI 300 stock index futures market.Fourthly,since LHAR-RV-CJ model considers the basic characteristics of long memory,jumping,asymmetry return volatility,the accuracy of the LHAR-RV-CJ model is significantly higher than that of other models.Fifthly,build binary DCC-GARCH model,DCC-Realized-GARCH model,Copula-DCC-GARCH and Copula-DCC-Realized-GARCH model for dynamic hedging calculations,it is found that the model based on Copula theory can improve the variance reduction ratio and improve the hedging efficiency when testing in the sample.and found that based on the Copula theoretical model has a smaller hedge ratio,that is,in the case of the same variance reduction ratio,can have a smaller hedge risk and capital costs.At the same time,it is found that the model based on Copula theory can have better profitability when the market price is rising.However,in the market downturn,Copula theory based on the model in the asset preservation effect is weak.Sixth,the hedge ratio calculated based on Realized model showed jagged,the variance was bigger and the volatility was stronger,the effect of the variance reduction ratio of model hedging is weak.At the same time,when the market is losing money,the Realized model based on the realized volatility has a greater average yield,that is,the Realized Hedging model has a better stop-loss effect.