The Risk Measurement of Stock Index Futures Based on the CVaR-SV-N Model

摘要：

CVaR-SV-N model can be used to describe the characters of the stock index futures return,such as peaks,thick tails and volatility clustering.The paper apply the CVaR-SV-N model to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF-1012).The conclusion is that fluctuations of CVaR forecast earnings based on SV-N model is in compliance with the trend of the original returns.The accurate CVaR test reveals that the accuracy of CVaR forecast earnings under 95％ confidence level is dramatic,that is,the CVaR-SV-N model can predict the risk accurately.

关键词： stock index futures CVaR model SV-N model

作者: WANG Lina

作者单位: School of Business Administration Shanghai Lixin University of Commerce Shanghai,China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 612-616

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）