Research On The Basis Risk Management Of Shanghai And Shenzhen 300 Stock Index Futures Based On VaR-GARCH

April 16,2010 is an important time for the development of the financial market in China.The Shanghai and Shenzhen 300 stock index futures are formally introduced.The investors use the Shanghai and Shenzhen 300 stock index futures to prevent the loss of assets.The investment strategy of hedging is used to operate,and the base difference is the most direct cause affecting the hedging effect.The basis will be abnormal fluctuations due to the change of some factors,and the basis risk will be formed,which will cause investors to suffer losses.The abnormal fluctuation of the base will disrupt the trading strategy of the investors,which will make the futures contracts selected by the investors are not suitable for the type of the transaction,make the wrong judgment on the buying and selling of the futures,which will cause the investors' exchange loss.Therefore,it is of great significance for the investors to study the risk management of the Shanghai and Shenzhen 300 stock index futures base,which can be used to identify the risk of the base difference in time,and to measure the risk of the base difference in time,and adjust its investment plan to reduce the investment loss according to the measurement results.This paper studies the base difference risk management of Shanghai and Shenzhen 300 stock index futures,first expounds the research background,the purpose and significance of the paper,and combs the domestic and foreign literature of the base difference risk.Secondly,it introduces the base difference and the base difference risk of the Shanghai and Shenzhen 300 stock index futures,and analyzes the relationship between the hedging effect and the base difference,and the base difference.The cause of the risk and the management framework of the risk of the base difference between the Shanghai and Shenzhen 300 stock index futures,the present situation and the existing problems,and then introduce the influencing factors and identification methods of the base difference risk,and then analyze the identification process of the base difference risk of the Shanghai and Shenzhen 300 stock index futures,and then introduce the GARCH model and compare the GARCH model and construct the VaR-GARCH In the end,on the basis of the control mode of the base difference risk of the stock index futures in the developed countries and regions,the corresponding control measures are put forward on the basis of the factors that affect the base risk,which is the basis for the Shanghai and Shenzhen 300 stock index futures base.Differential risk management provides reference.