Investment Risk On The Stock Index Futures Based On The Var Method

Since the October 30,2006 China has been carrying out simulated trading of stock index futures, stock index futures by virtue of its unique charm, the market attracted a large number of traders.As the stock index futures have short-mechanism, so even if the decline in the stock market situation, investors can profit, or the use of short-mechanism to avoid the risk of the spot market, lock returns.In order to effectively conduct of stock index.futures investment risk control and prevention, a good measure of market risk is the primary task.This is mainly discussed the VaR method in China stock index futures speculation and hedging market risk measurement in the two applications.This paper is divided into four majority, the first part of the introduction of stock index futures and the resulting two kinds of market risks, as well as a risk reasons.Introduced for the financial risks of several traditional measurement methods, and the VaR this modern measurement methods, summarized VaR method in the domestic and international research on the development process and the status quo.The second part, described in detail VaR principles and modeling methods and analyzed the advantages and disadvantages of the method.PartⅢ, established a stock-index futures to hedge the risk of speculation and VaR model, introduced for the calculation of VaR parameters to structure a financial time series models, as well as construct a continuous futures contract price series approach.The fourth part of the Select October 30,2006 to carry out simulation of China's stock index futures, to January 29,2010 closing of the stock index futures data for empirical analysis.The results show that, GARCH family model can better simulate the rate of return of China's stock index futures volatility, based on GARCH family of futures market risk VaR measure is entirely feasible and effective.China's stock index futures margin ratio is fixed, and the high.In order to effectively control the risks under the premise of improving the utilization of funds to improve stock index futures market and give full play to the active nature of the price discovery function of futures markets,this paper suggests exchange VaR based on the value of the size of the futures market to determine the current level of margin height, in order to make adjustments accordingly.