Empirical Research In Measureing Stock Index Futures Price Risk In China

China’s CSI300futures contracts was traded in April16.2010.AS a major financial derivatives.As the same as the other financial derivatives,highly leveraged trading mechanism.sensitivity in price changes and complexity in the trading strategy is the major character of CSI300futures.So CSI300futures contains a huge risk.In other words,the investors must bear the higher risk when they get the chance of high returns.The risk management and metric of CSI300futures is the key of the entire market operation.Before in our country in view of the csi300index futures price risk research data is based on the csi300simulation data, is not to be full and true reflect the csi300stock index futures market returns and risk. Based on the csi300index futures listed real data analysis after its market risk, has more authenticity and validity.Based on the theory discussion, classified, build the index system, combining the qualitative description and model to estimate the research methods, combined with the actual situation of our country, the stock index futures price risk and its measurement system, a comprehensive analysis, through the correlation of stock index futures price risk factors inspection found that the stock index, exchange rate, interest rate of stock index futures price risk degree of the influence of size, using GARCH model yields of stock index futures price estimate, the VaR method is applied to accurately measure the risk, stock index futures prices for the policy making of regulators and investors’risk decision-making to provide quantitative analysis foundation, financial product innovation to provide certain reference for the future.In this paper, first of all, from the perspective of the general theory, from the two aspects of stock index futures price risk and the measure of stock index futures price risk measure are introduced related theory. The spot and through the analysis of stock index futures stock index volatility, summarizes the cause of the stock index futures price risk, to construct the influence of stock index futures price risk index system. Secondly by econometric methods on the influencing factors of stock index futures market risk has carried on the correlation test, stock index futures, stock price index, interest rate and exchange rate four indicators, through stationarity test, cointegration test, impulse response function and variance decomposition. Again through the csi300index futures yield GARCH-VaR model is set up, calculation of VaR value, the model for stock index futures risk measurement in China. At last, through the empirical analysis result to our country the establishment of the stock index futures risk monitoring system is put forward policy Suggestions. Through the empirical analysis, this paper concluded that the stock index futures yield sequence density distribution is not normal distribution, but has obvious characteristics of thick tail "rush" csi300index futures logarithm yield sequence has obvious volatility clustering features, and do not conform to the normal distribution characteristics, at the same time with stationarity and the ARCH effect, therefore, using GARCH model is analyzed, based on the principle of the smaller the AIC value or SC, this article selects the t distribution under the GARCH (1,1), TGARCH (1,1) and EGARCH (1,1) model to estimate yield sequence respectively, known EGARCH (1,1) for fitting the csi300index futures logarithm yield the optimal model of volatility, it can not only good reaction of stock index futures market volatility clustering and rush fat-tailed features, but also can show the market good and bad impact on the volatility of different effects. Therefore, this article suggested:choose VaR risk measurement model of management; Pay special attention to the tail risk; To speed up the Istock index futures price risk management personnel training.