Zhou Zidong
Zhejiang University City College
Tan Lan
Zhejiang University City College
Zhang Handan
Zhejiang University City College
ABSTRACT
This article focus on the influence of SCI 300 index futures on fluctuation of stock market in China by examining date of recently six months closing prices in 30 min of Shanghai-Shenzhen 300 index. And due to the residual cluster characteristics of financial time series, GARCH test and ARCH effect test are adopted, the GARCH model and EGARCH model are building. Research results show that the index future plays a role that slows down the fluctuation of stock market but the effect is not obvious. Innovation of this study includes that the 30 min of high-frequency data and a variety of model test are adopted mutually, which have guaranteed the accuracy of result. In addition, it's not long since the introduction of Shanghai-Shenzhen 300 index future, so this article can make researches in the related fields more comprehensive.
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How to cite this article
Zhou Zidong, Tan Lan and Zhang Handan, 2013. Garch and Egarch Models for Analyzing the Influence of CSI 300 Index Futures on Stock Market Fluctuation. Information Technology Journal, 12: 6078-6081.
DOI: 10.3923/itj.2013.6078.6081
URL: https://scialert.net/abstract/?doi=itj.2013.6078.6081
DOI: 10.3923/itj.2013.6078.6081
URL: https://scialert.net/abstract/?doi=itj.2013.6078.6081
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