Empirical Analysis of Risks on HS300 Based on the VAR-GARCH Model

被引：0

作者：

Zhou, Mei ^{[1
]}

Wen, Tingting ^{[1
]}

机构：

[1] North China Univ Technol, Coll Sci, Beijing 100144, Peoples R China

来源：

2013 INTERNATIONAL CONFERENCE ON ECONOMIC, BUSINESS MANAGEMENT AND EDUCATION INNOVATION (EBMEI 2013), VOL 19 | 2013年 / 19卷

关键词：

HS300 Stock Index Futures; VAR_GARCH model; Risk measurement;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In April 2010, China financial futures exchange market introduced HS300 Stock Index Futures, which presented a continuous, stable and fast development situation in the following period. However, it has a bigger risk as futures price fluctuates. As is known to all, measurement method of VAR is used to evaluate the risks more commonly, and more effectively. And price in futures trading has stronger volatility clustering effect and thicker tail than other trading products' prices, resulting that measurement method of VAR for this kind of transaction data become invalid. This paper introduces GARCH model for the data, reducing the volatility of the data sequence and the deviation brought by sensitivity of the data sequence, which might be more accurate to reflect the characteristics of risk.

引用

页码：60 / 65

页数：6

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