The Empirical Study of VaR Model in the Margin of Chinese Stock Index Futures

In this paper, we study the margin of Chinese Stock Index Futures using GARCH-VaR model and Monte Carlo simulation respectively. The result of the empirical study shows that the model of GARCH-VaR is more precise in describing the proper margin level. Furthermore, the average margin level of the long is higher than the short, which means the long is exposed to more risks than the short Moreover, we find that the level of the margin is lower than current domestic stock index futures security level at both 99% and 95% confidence level.