Study on the Risk Management of China's CSI 300 Index Futures Based on the VaR-GARCH Model

被引：0
|
作者：
Li, Cheng-gang [1 ]
Yin, Bin [2 ]
Li, Xiao-lin [3 ]
机构：
[1] Guizhou Univ Finance & Econ, Fac Finance, Guiyang, Peoples R China
[2] Qianxi Cty Peoples Govt, Finance Off, Bijie, Peoples R China
[3] Univ Elect Sci & Technol China, Sch Econ & Management, Chengdu, Peoples R China
来源：
2015 INTERNATIONAL CONFERENCE ON INFORMATION SCIENCE AND MANAGEMENT ENGINEERING (ICISME 2015) | 2015年
关键词：
CSI 300 stock index futures; Risk management; VaR-GARCH model; STOCK INDEX;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The stock index futures is an effective tool for investors to avoid stock market risk, and it can help investors effectively manage risk. Using daily data from April 16th, 2010 to February 28th, 2013 of CSI 300 index futures in China, this paper constructs VaR-GARCH model, and uses conditional variance from GARCH model to calculate VaR value. The VaR value under the 95 percent and 99 percent of the confidence level and the actual profit and loss values are compared. This paper analyzes future risk through comparing the days of actual failure and the expectation. Analysis results show that, VaR-GARCH model underestimates the risk of CSI 300 index future contract. Based on the research conclusions, this paper proposes recommendations and countermeasures to provide reference for the risk management of CSI 300 index futures.
引用
收藏
页码：210 / 214
页数：5
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