Intraday Asymmetric Test of the CSI300 Index Futures Based On eGARCH Model
- 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/).
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 -