Title :
Study on the risk forecast of stock index futures
Author_Institution :
Sch. of Trade & Econ., Shanghai Lixin Univ. of Commerce, Shanghai, China
Abstract :
The paper applies the CVaR-GARCH-GED model to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1005). The conclusion is that fluctuations of CVaR forecast earnings based on GARCH-GED model is in compliance with the trend of the original returns. The accurate CVaR test reveals that the accuracy of CVaR forecast earnings under 95% confidence level is dramatic, that is, the CVaR-GARCH-GED model can predict the risk accurately.
Keywords :
economic forecasting; market research; risk management; stock markets; CVaR forecast; GARCH-GED model; Shanghai; Shenzhen; income rate; risk forecast; stock index future; Biological system modeling; Contracts; Fluctuations; Gaussian distribution; Indexes; Portfolios; Predictive models; CVaR model; GARCH-GED model; stock index future;
Conference_Titel :
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4244-6927-7
DOI :
10.1109/ICIFE.2010.5609411
