Futures And Spot Market Volatility Spillover Effects And VaR Risk Management

With the background of China HS300 stock index futures starting transactions, this paper summarizes the theoretical and empirical research about the volatility of financial data, especially focus on volatility spillovers effect and the value-at-risk risk management theory, also the application with both of them.The research build a time-varying volatility model of stock index futures and spot market, which described in detail by Cholesky decomposition from the perspective of trader behavior. The research associates the time-varying volatility model with value-at-risk risk management theory. Empirical study targets on the HS300 Index, makes a brief description of the futures and spot market during the past four years, and time-varying conditions volatility model based on HS300 index is established to analyze the volatility spillover effect. The volatility data simulated by the model is useful to the value-at-risk calculations.The research found that the fluctuations between the HS300 futures and spot markets is closely correlated, and the real transaction makes the correlation more closed, the fitting of the correlation between the volatility of multivariate time series is critical to the simulation efficient of the model, time-varying conditional correlation model is a highly efficient model that can guide a good value-at-risk financial risk management.