A study on the weekday effect and leverage effect on CSI-300 index futures Volatility-according to expanded conditional autoregressive range model of application

The Volatility is one of core variable in the field of financial research, the CARR that Ray Yeutien Chou puting forward show superiority at estimate Volatility of financial assets. This paper conduct empirical study of recent CSI-300 Index Futures Volatility using the expanded Conditional Autoregressive Range model (CARRXY), the results show CSI-300 Index Futures volatility existence obvious of weekday effect, but the volatility of weekday effect disagreed return of weekday effect. Moreover CSI-300 Index Futures appear obvious of negative leverage effect, this is inconsistent with most of the mature market countries. End the paper to these market heteromorphism carried on reasonable explanation, this homeomorphism is the characteristics of emerging markets, after all, the CSI-300 Index Futures contract in just born shortly.