Title :
Measurement of HIS Stock Index Futures Market Risk Based on Value-at-Risk
Author :
Dan, Yan ; Zhiyong, Gong
Author_Institution :
Sch. of Manage., South China Univ. of Technol., Guangzhou, China
Abstract :
This paper examines the forecasting of value-at-risk model. We explore and compare two different possible sources of performance improvement: asymmetry in the conditional variance and fat-tailed distributions. The HIS stock index futures are studied using daily data. Our result suggest that for asset returns which exhibit fatter and volatility clustering, like the HIS stock index futures, the VaR values produced by the normal APARCH model are preferred at lower confidence level.
Keywords :
autoregressive processes; risk management; stock markets; APARCH model; HIS stock index futures market risk; asset returns; asymmetric power autoregressive conditional heteroskedastic; conditional variance; confidence level; fat-tailed distributions; forecasting; performance improvement; value-at-risk; volatility clustering; Contracts; Electric shock; Industrial engineering; Information management; Innovation management; Portfolios; Predictive models; Reactive power; Sea measurements; Technological innovation; APARCH; stock index future; value-at-risk;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-0-7695-3876-1
DOI :
10.1109/ICIII.2009.329
