| Born in 1982, the stock index futures, due to those functions such as its advantages of price discovery, avoiding risk and asset allocation , so it gets a fast development in the world. As the Chinese capital market appeared later, its market development is not mature, so the stock index futures have been not launched. On September 8, 2006, the Shanghai and Shenzhen 300 simulation of stock index futures in China Financial Futures Exchange started trading. On April 16, 2010, Shanghai and Shenzhen 300 index futures were launched, whose being officially launched is another milestone on the development of China's capital market. Before the stock index futures were launched, our stocks have been traded by the unilateral mechanism, that is, short-sale is not allowed . Investors can only make a profit by buying low and selling high , which leads to the market's "chase the winner,cut the loser" and stock market fluctuates dramatically . The launch of stock index futures can not only improve the stock market's price mechanism, reduce transaction costs, but also provide a good hedging and investment tool for the market . Its launch will completely change the status quo of lack of risk management tools in our capital market. However, the stock index futures high-leverage trade also makes it have greater risks, such as the Bahrain bank's bankrupt, as well as the exposed French bank's loss of a huge sum of money at the beginning of 2008.The main functions of stock index futures are hedging and price discovery . Investors often make use of hedging strategy in order to avoid the loss of assets . While hedging effect will depend on the market spread of fluctuation frequency, amplitude and direction. When the spread before and after the spread transaction is constant, hedgers break even ; when the spread before and after the spread transaction is not the same, investors may value and profit and maybe can't hedge. This mainly depends on the spread of the changes before and after. For hedging and arbitrage, the risk of the stock index futures is also reflected in the spread uncertainty. spread is also an important indicator to measure the relationship between futures price and spot price. Main economic functions of the futures market are mainly through the spread to reflect, so the spread risk has become a focus of concern and research. Many factors lead to the spread risks including market risk, policy risk and operation risk. How to measure the spread risk becomes scholars' research topics. If we make the risk measurement for those factors causing spread risk separately and then make an overall evaluation, which is complex and kind of subjective. VaR just can put all the factors into consideration, and measure the maximum loss of assets in a certain confidence level. It also can measure fluctuation range of the spread in a certain confidence level. In this paper, on the basis of the related theory study at home and abroad, the author uses VaR-GARCH model to study the Shanghai and Shenzhen 300 index futures fluctuation in a certain period of time. Through comparing the theoretical data got from the model with the actual basis of changes, which can be used to test if this model can effectively measure the spread fluctuation risk. Finally, the existing problems of our present VaR model in China and how to better prevent basis risk were briefly introduced.The paper is mainly divided into five parts:The first part is an introduction.It mainly elaborates the background and research significance of the selected topic. Literature summary of related research at home and abroad for the stock risk research and the necessity of research are introduced in this part.The second part is the part of theoretical analysis. This chapter focuses on some theoretical knowledge relevant to the spread. This chapter is divided into four parts. The first part introduces the concept and principles of hedging; the second part of this chapter is the description for spread; the third part is the description of the spread risk and mode of expression for spread risk theory based on the spread ; the last part is the analysis of the factors causing spread risk .The third part is to establish theoretical model . This chapter not only introduces the VaR model and calculation method of the model, but also introduces ARCH model and GARCH model.The fourth part is the empirical part. This chapter will carry out empirical analysis of spread data of Shanghai and Shenzhen 300 stock index futures, including the test of normality, stationary test, unit root test, as well as the ARCH effect test. And then measure the variation range of spread through the GARCH ( 1, 1) model. Finally make returning test for the model.The fifth part introduces some existing problems of current VaR model in our country, such as historical data is insufficient, the cognition of VaR is not sufficient and the environment of application is questionable. Finally, put forward some suggestions on how to prevent the spread risk.The innovation is shown in the following ways: For the first, this paper deeply analyzes the spread, spread s risk and factors causing spread, which is helpful for us to deepen the understanding of spread risk, but also helps us to make further exploration for new ways to manage spread risk.For zhe second,The article takes the spread sequences as the main research object, through the introduction of VaR and GARCH model to quantify the spread risk. |
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