基于ARMA-GARCH的股指期货实证分析  

An Empirical Research of Stock Index Futures in China Based on ARMA-GARCH Model

作　　者：李丹[1] 郑伟[2] 张伟伟[1] 徐天群[1] 

机构地区：[1]武汉理工大学理学院,湖北武汉430070 [2]武汉理工大学艺术与设计学院,湖北武汉430070

出　　处：《武汉理工大学学报（信息与管理工程版）》2014年第5期690-694,共5页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(61304181);中央高校基本科研业务费专项资金资助项目(2012-Ia-045;2014-Ia-038)

摘　　要：基于沪深300股票指数期货的时间序列数据,研究了股指期货收益序列的平稳性,建立了ARMA-GARCH模型,通过模型中的均值方程和波动方程,发现初期期货市场上的交易状况偏向于风险厌恶型,得到了收益变化的循环周期大约为3.6天,股指期货市场的波动存在ARCH效应和长记忆性特点。说明市场初期交易者对市场的信息反馈非常敏感和迅速,并且呈现出群体效应和连锁行为,有增大市场风险的可能。Based on the series data of 300 stock indexes in Shanghai and Shenzhen Stock Market , the stability of the return series was studied;and ARMA-GARCH model for the return series was established .According to the mean equation and vola-tility equation in the model , it was found that the initial futures trading tend to be risk adverse players , and the business cycle of income was about 3.6 days, and the stock index futures market volatility presented ARCH effect and the characteristics of long memory.It showed that the feedback of information of the market is very sensitive and rapid at beginning and the group effect and chain behavior would increase market risks .

关 键 词：沪深300股票指数期货 平稳性 ARMA-GARCH模型 商业环 ARCH效应 

分 类 号：F064.1[经济管理—政治经济学]