沪深300股指期货VaR-GARCH模型风险管理研究——基于恒指期货的比较视角

Empirical Analysis on HS300 Stock Index Futures with VaR-GARCH Model,based on the Perspective of Comparing with Hang Seng Index

股指期货是以股票指数作为标的的金融衍生产品,其在金融风险管理中具有重要作用,同时自身也面临较大的风险。VaR—GARCH模型能够较好地模拟金融市场时间序列数据,并作出相应的估计值,是当前主流的风险管理方法。本文基于香港恒指期货的比较视角,对我国去年推出的沪深300股指期货交易进行VaR—GARCH模型实证分析,得出VaR—GARCH模型能够较好地管理沪深300股指期货的风险的结论,并建议加强VaR技术的运用和加强跨市监管,更好地管理股指期货的风险。

Stock index futures is one kind of financial derivates underlying stock index.While the stock index futures has a function of risk control,it has risk as some other financial derivative products.VaR-GARCH model,as one of the current mainstream of risk management methods,can simulate time series data well,and make corresponding estimate.In this paper,through the perspective of comparing with Hang Seng index futures,we use VaR-GARCH model to do empirical research on HS300 stock index futures.After comparative analysis,we conclude that the VaR-GARCH model is appropriate to our stock index futures risk management,and we also suggest the more use of VaR technology and the strengthen of cross-market supervision.