基于GARCH模型对股指期货波动性的研究

Research on Volatility of Stock Index Futures Based on GARCH Model

摘要: 20世纪80年代，美国从堪萨斯城市期货商品交易所开始发行第一支股指期货合约，股指期货市场就开始引起了大家的重视。21世纪10年代，我国证券市场开始推出了沪深300、中证500指数以及上证50。自美国堪萨斯城期货商品交易所推出首个股指期货合约以来，股指期货市场便引起了广泛关注。2020年1月11日，国家卫健委正式宣布普通公民可以获得信息，因此以北京时间2020年1月11日为时间节点，研究该时间节点对沪深300波动性的影响。本文首先用沪深300的每日收益率做时序图，检验其是否存在异方差效应，然后用单位根检验序列的平稳性，由此可以建立回归公式以此证明存在ARCH效应，加入虚拟变量后对其进行估计。本文基于GARCH模型研究2020年1月11日前后沪深300波动性的影响，主要使用研究方法是GARCH模拟方法和衍生期权模型方法，最后对此得出结论。

Abstract: In the 1980s, the United States began to issue the first stock index futures contract from the Kansas City Futures Exchange, and the stock index futures market began to attract everyone’s attention. In the 21^st century, China’s stock market began to launch the CSI 300, CSI 500 index and SSE 50. Since the launch of the first stock index futures contract by the Kansas City Board of Trade, the stock index futures market has attracted widespread attention. On January 11, 2020, the National Health and Health Commission officially announced that ordinary citizens can obtain information, so January 11, 2020 Beijing time as the time node, to study the impact of this time node on the CSI 300 volatility. In this paper, the daily return rate of CSI 300 is used to make a time series chart to test whether there is heteroscedasticity effect, and then the stationarity of the series is tested by unit root. Therefore, a regression formula can be established to prove the existence of ARCH effect, and it is estimated after adding dummy variables. Based on GARCH model, this paper studies the influence of CSI 300 volatility around January 11, 2020. The main research methods are GARCH simulation method and derivative option model method, and finally draw a conclusion on this.