CAJ | 학술논문

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。
기우호심300고표지수기화적시간서렬수거，연구료고지기화수익서렬적평은성，건립료ARMA-GARCH모형，통과모형중적균치방정화파동방정，발현초기기화시장상적교역상황편향우풍험염악형，득도료수익변화적순배주기대약위3．6천，고지기화시장적파동존재ARCH효응화장기억성특점。설명시장초기교역자대시장적신식반궤비상민감화신속，병차정현출군체효응화련쇄행위，유증대시장풍험적가능。
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 .