Research On Yield Rate Of HS300 Index Futures Based On Non-parametric Kernel Density Estimation

On April 16 of 2010,China’s first stock index futures contracts-HS300 Index futures were listed in the China Financial Futures Exchange,which marked that China’s futures market has entered into a new era.Because of the hedging and risk aversion function,HS300 Index futures has been widely concerned by the investors.Meanwhile,as financial derivatives,stock index futures also brought some more complex risks,and because of the high leverage,it is easy to magnify these risks.In order to effectively use this double-edged sword,good risk control is particularly important,and the most direct approach is to study its yield rate and to predict the risk effectively.Firstly,this paper introduces the features and functions of stock index futures,and analyzes that the stock index futures market can effectively avoid the systemic risk of the stock market. Secondly,it describes the development process of HS300 Index futures.Then it introduces non-parametric kernel density estimation and VaR methods, including the basic principles and calculation methods.Finally,we calculate the daily VaR of HS300 Index futures and prove that the non-parametric kernel density estimation is better than the parametric estimation method through back-testing.