Garch and Egarch Models for Analyzing the Influence of CSI 300 Index Futures on Stock Market Fluctuation

This article focuses 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 mm of Shanghai-Shenzhen 300 index. 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. Results show that the index future plays a role that slows down the fluctuation of stock market, but the effect is not obvious. The innovation of this study includes that the 30 mm 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.