Proceedings of the 2nd International Conference on Economics and Management, Education, Humanities and Social Sciences (EMEHSS 2018)

Intraday Asymmetric Test of the CSI300 Index Futures Based On eGARCH Model

Authors
Junbo Wang, Susheng Wang, Guanglu Li
Corresponding Author
Junbo Wang
Available Online March 2018.
DOI
10.2991/emehss-18.2018.110How to use a DOI?
Keywords
High frequency data, eGARCH model, CSI 300 index futures, intraday volatility
Abstract

In this paper, the internal high frequency samples of stock index futures are taken as the research object, and the statistical characteristics of the high frequency data in the stock index futures are studied. After determining the stable data, the eGARCH model is used to test the asymmetry of the volatility in the stock index futures. The model parameter estimation results show that all the selected three samples have asymmetry, and the impact of the conditional variance of stock index futures is very strong. The futures market has been greatly shocked, and it will be difficult to disappear in the short term.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2nd International Conference on Economics and Management, Education, Humanities and Social Sciences (EMEHSS 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2018
ISBN
10.2991/emehss-18.2018.110
ISSN
2352-5398
DOI
10.2991/emehss-18.2018.110How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Junbo Wang
AU  - Susheng Wang
AU  - Guanglu Li
PY  - 2018/03
DA  - 2018/03
TI  - Intraday Asymmetric Test of the CSI300 Index Futures Based On eGARCH Model
BT  - Proceedings of the 2nd International Conference on Economics and Management, Education, Humanities and Social Sciences (EMEHSS 2018)
PB  - Atlantis Press
SP  - 548
EP  - 551
SN  - 2352-5398
UR  - https://doi.org/10.2991/emehss-18.2018.110
DO  - 10.2991/emehss-18.2018.110
ID  - Wang2018/03
ER  -