| 基于EGARCH模型的我国股指期货的非对称性研究 |
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| 引用本文： | 王玉荣,王建国,王海波.基于EGARCH模型的我国股指期货的非对称性研究[J].西安文理学院学报,2014(1):44-46. |
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| 作者姓名： | 王玉荣 王建国 王海波 |
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| 作者单位： | 西安建筑科技大学理学院,西安710055 |
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| 摘 要： | 股指期货合约是为了适应投资者规避市场波动风险需要而产生的.我国从2010年4月开始正式交易股指期货,无论是利用它进行市场投资,还是进行对冲和套期保值,一个不得不面对的问题就是怎样科学对它的波动性进行预测.运用EGARCH模型对沪深300股指期货的杠杆效应进行了实证分析,结果发现,股指期货的日收益率存在着明显的杠杆效应,收益率对波动强度的影响具有非对称性.
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| 关 键 词： | 股指期货 波动性 EGARCH模型 杠杆效应 |
On the Asymmetry of China Stock Index Futures Based on EGARCH Model |
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| WANG Yu-rong,WANG Jian-guo,WANG Hai-bo.On the Asymmetry of China Stock Index Futures Based on EGARCH Model[J].Journal of Xi‘an University of Arts & Science:Natural Science Edition,2014(1):44-46. |
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| Authors: | WANG Yu-rong WANG Jian-guo WANG Hai-bo |
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| Institution: | ( College of Science, Xi ＇ an University of Architecture and Technology, Xi ＇ an 710055, China ) |
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| Abstract: | Stock index futures contracts were born in the needs of investors＇ requirements to a- void the risk of severe market volatility. Trading stock index futures were initiated in Mainland China since April 2010. Be it for investment or hedging, a scientific forecast on its volatility can not be avoided. We give an analysis of the leverage effect of CSI300 index futures by ap- plying EGARCH model. The conclusion is that the leverage effect is obvious for daily return rate and the return rate effect on the volatility is asymmetric. |
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| Keywords: | Stock Index Futures volatility EGARCH model leverage effect |
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