一种基于VAR的上证180指数基金风险预测方法

A Method for Risk Forecasting of SH180 Index Funds Based on VAR

随着上证180指数的推出,打开了指数基金发展的空间,在我国尚未推出指数期货作为指数基金的风险控制工具的情况下,指数基金的风险预测能力显得尤其重要.本文基于VAR给出了一种简单实用的预测方法,并且通过实例对该方法的有效性与局限性做了说明.

With the appearance of SH180 index ,index funds have a good future. Until now we have not index future as a tool to control risk of index funds, so the capability of risk forecasting is obviously important. This paper proposes a simple, suitable method for risk forecasting, which is based on VAR. Finally, a numerical example is given to show the feasibility and effectiveness of the method.