Vol.7 No.2 (February 2018)
基于GARCH模型的香港股指期货实证研究
Empirical Research on Hong Kong Stock Index Futures Based on GARCH Model
作者:
蔡白光 , 何文峰 , 王志刚 :海南大学数学系,海南 海口
王思哲 :中南大学信息科学与工程学院,湖南 长沙
关键词:
恒指期货; GARCH族模型; 波动性; 风险评估; Hang Seng Index Futures; GARCH Model; Volatility; Risk Evaluation
摘要:
In this paper, we take 4673 pairs of closing price and yield data of Hang Seng Index futures from March 2nd 1997 to May 2nd 2017, and establish the GARCH model by Eviews 9.0. The characteristics of volatility, conditional heteroscedasticity and asymmetry of HSI futures are verified, and the influence of good and bad news on stock index is given quantitatively through the model results. Based on the conditional variance obtained from GARCH model, a VAR model is established to predict the market risk of HSI futures. The forecasting results basically cover its fluctuation range, which indicates that GARCH-VAR model can well control and predict HSI futures market risk.
文章引用:
蔡白光 , 王思哲 , 何文峰 , 王志刚 (2018) 基于GARCH模型的香港股指期货实证研究。 应用数学进展, 7, 163-168. doi: 10.12677/AAM.2018.72020
参考文献