Notice of RetractionThe empirical study on the risk measurement of stock index futures

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

Both CVaR-GARCH-GED model and CVaR-SV-N model can be used to describe the characters of the stock index futures return, such as peaks, thick tails and volatility clustering. The paper apply the two models to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1012).The conclusion is that fluctuations of CVaR forecast earnings based on both models are in compliance with the trend of the original returns. However, the CVaR accuracy test reveals that the accuracy of CVaR-SV-N forecast earnings under 99% confidence level is dramatic, that is, the CVaR-SV-N model can measure the risk more accurately than the CVaR-GARCH-GED model does.