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本文首先使用带虚拟变量的GARCH(1,1)模型考察了期指交易对标的指数条件波动的影响,然后利用极值理论(EVT)建立了描述标的指数收益序列极端风险的厚尾指数,最后使用内生结构变化模型确定了期指交易冲击下厚尾指数结构变化点的数目及机制,并估计了各机制厚尾指数的均值水平。结果表明:内生结构变化对应于股指期货交易推出的时间,期指交易降低了现货市场的条件波动,增加了现货市场总体极端波动和左侧极端波动,而对右侧极端波动无影响。
In this paper, we use the GARCH (1,1) model with dummy variables to examine the influence of futures trading on the index’s conditional volatility, and then use the extreme value theory (EVT) to establish the thick tail index describing the ultimate risk of underlying index returns. Finally, The endogenous structural change model was used to determine the number and mechanism of the changes in the structure of the thick tail index under the impact of the futures transaction. The mean tailed index of each mechanism was also estimated. The results show that the change of endogenous structure corresponds to the time when the stock index futures trade is launched. The futures trading reduces the volatility of the spot market, increases the overall extreme volatility and left extreme volatility in the spot market, but has no effect on the extreme extreme volatility.