Title :
Risk Control of Stock Index Futures in China Based on EGARCH-VaR Model
Author :
Liu, Zhiwei ; Yang, Xiang
Author_Institution :
Sch. of Econ. & Manage., Univ. of Sci. & Technol. Beijing, Beijing, China
Abstract :
This paper presents an empirical and normative study of the risk management of stock index futures in China. After a brief discussion of VaR and EGARCH model, this paper focuses on the application of EGARCH-VaR model to calculate the VaR value of Shanghai and Shenzhen 300 stock index futures contracts IF1106. The rVaResult indicates that the EGARCH-VaR model is suitable for the Stock Index Futures risk management in China.
Keywords :
autoregressive processes; commodity trading; risk management; China; EGARCH-VaR model; IF1106 stock index futures contract; Shanghai 300 stock index; Shenzhen 300 stock index; exponential general autoregressive conditional heteroskedastic model; risk control; risk management; stock index future risk; value-at-risk model; Correlation; Equations; Gaussian distribution; Indexes; Mathematical model; Reactive power; Risk management; EGARCH; Risk Control; Stock Index Futures; VaR;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4577-1541-9
DOI :
10.1109/BIFE.2011.107
