Research The Market Risk Of CSI300Index Futures Investment

April16,2010, China launched the CSI300Index Futures, which make up the gap in the field of China’s financial futures. CSI300Index futures trading volume, turnover and positions since listing has steadily increased, and has gradually developed into one of the most important financial derivatives of China’s financial market. However, because of financial derivatives generally has some inadequacy, the investment in financial derivatives has a higher risk. Therefore, effectively and reasonably measure the market risk of its investment has important significance.This paper mainly studies the market risk of CSI300index futures investment, and is divided into four sections. The first part is the introduction. This part introduces the research background and significance of this paper, and describes the research of the market risk measured at home and abroad, and also briefly describes the structure and innovation of this paper. The second chapter briefly describes the CSI300index futures and the Value-at-Risk. The third part is the empirical study. According to the different purposes of investors, the investors can be divided into speculators, hedgers and arbitrageurs. Compared to speculate and hedges, arbitrage risk is relatively low, and the arbitrage behavior can also be divided into many different types. Therefore, we use the traditional VaR methods to measure the risk of price volatility and basis risk, and these two risks are the main risks faced by speculators and hedgers. The fourth part is the conclusion. This part presents the conclusion and inadequacy of this paper, and describes the future research directions.In empirical part, we use the return rate series of CSI300index futures to research the risk of price volatility which is mainly faced by the speculators. This series has a high kurtosis. does not follow a normal distribution. It is stationary with no significant autocorrelation, and it has not obvious ARCH effect. In view of this, we use the Monte Carlo simulation method and Historical simulation method to calculate the daily VaR of the risk of price fluctuations. The model effectiveness test results show that:MC method can be used to calculate the CSI300index futures risk day VaR of price volatility;For hedgers, we use basis differential series of CSI300index futures to research the basis risk which is mainly faced by the hedgers. This series has a high kurtosis, does not follow a normal distribution. It is stationary with significant autocorrelation, and it has obvious ARCH effect. For this reason, we use the ARMA (2,1)-GARCH (1,1) model based on the GED distribution and t distribution to study the day VaR of basis risk which is mainly faced by the hedgers. Compared with T distribution, the empirical results show that the GED parameter v=1.419928, that is, the nature of the "fat tail" can be properly described by the GED distribution. We use GARCH model to describe the conditional variance, and ultimately obtained the day VaR of the basis risk. The model effectiveness test results show that:it is appropriate to calculate the CSI300index futures risk day VaR of basis risk with this method.