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

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.