DocumentCode
2903270
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
fYear
2011
fDate
17-18 Oct. 2011
Firstpage
101
Lastpage
104
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4577-1541-9
Type
conf
DOI
10.1109/BIFE.2011.107
Filename
6121098
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