沪深300指数及其股指期货的风险管理研究——基于VaR-GARCH模型

Research on Risk Management of CSI 300 Index and Its Stock Index Futures—Based on VaR-GARCH Model

沪深300指数期货的上市对于中国金融市场来说具有里程碑意义,沪深300指数可以在一定程度上反映中国股市整体的趋势,对其进行相应的风险管理是不可或缺的。文章利用VaR-GARCH模型拟合了沪深300指数及其股指期货在2021-10-18到2022-05-20合约期内的最新时序数据,实证结果表明,该方法目前仍然可以很好地管理沪深300股指期货的风险。因此,本文提出了基于VaR在险价值的大额损失管理策略以及股指期现套利管理策略,从投资者的角度来看,这一研究有利于个人的风险管理;从市场角度出发,则可降低市场的系统性金融风险。

The listing of CSI 300 index futures is a milestone for China s financial market,which is of great significance in risk management.This paper uses the VaR-GARCH model to fit the latest time series data of the contract period from 2021-10-18 to 2022-05-20 of CSI 300 Index and its stock index futures,and the results show that this method can still manage the risk of CSI 300 stock index futures well,and puts forward a large loss management strategy based on VaR at risk value and a stock index spot arbitrage management strategy,from the perspective of investors,this research is not only beneficial to personal risk management.It is more conducive to reducing the systemic financial risk of the market.