基于VAR-GARCH-BEEK模型的股指期货和股票现货的波动性联动分析  

Based on the VAR-GARCH-BEEK Model Analysis on the Volatility of Stock Index Futures and Stock Spot

作　　者：周丹丹[1] 

机构地区：[1]新疆财经大学统计与信息学院,新疆乌鲁木齐831000

出　　处：《吉林金融研究》2016年第2期6-12,共7页Journal of Jilin Financial Research

摘　　要：本文通过对2010年4月至2015年9月之间的股指期货和股票现货的波动性进行研究,通过引入虚拟数据建立经济模型发现股指期货的推出在一定程度上平抑了股票市场价格的波动性减少了股票市场的价格波动;通过建立多元VAR-GARCH-BEEK模型研究两个市场之间的波动性联动效应,两个市场之间存在显著的双向波动性影响,相对来说,股指期货市场对现货市场的波动性影响较为强烈,股票现货市场对期货市场的波动性影响力度较为微弱。The volatility of April 2010 to September 2015 between stock index futures and spot research, establish economic model, it is found that the stock index futures launched in a certain extent, stabilize the stock market price volatility reduces the price fluctuation in the stock market by introducing virtual data; through the establishment of multiple VAR-GARCH-BEEK model to study fluctuations of linkage effects, between the two markets exist significant two-way volatility, relatively speaking, the stock index futures market to the spot market volatility influence more strongly, stocks in stock market of futures market volatility influence degree is weak.

关 键 词：股指期货 股票现货 VAR-GARCH-BEEK模型 波动性 

分 类 号：F724.5[经济管理—产业经济] F224