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In this paper, the internal high frequency samples of stock index futures are taken as the research object, and the statistical characteristics of the high frequency data in the stock index futures are studied. After determining the stable data, the eGARCH model is used to test the asymmetry of the volatility in the stock index futures. The model parameter estimation results show that all the selected three samples have asymmetry, and the impact of the conditional variance of stock index futures is very strong. The futures market has been greatly shocked, and it will be difficult to disappear in the short term.

Intraday Asymmetric Test of the CSI300 Index Futures Based On eGARCH Model