Study on the Risk Forecast of Stock Index Futures

摘要：

The paper applies the CVaR-GARCH-GED 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 (IFI005).The conclusion is that fluctuations of CVaR forecast earnings based on GARCH-GKD model is in compliance with the trend of the original returns.The accurate CVaR test reveals that the accuracy of CYaR forecast earnings under 95％ confidence level is dramatic,that is,the CVaRGARCH-GED model can predict the risk accurately.

关键词： stock index future CVaR model GARCH-GED model

作者: ZHU Xiang-hong

作者单位: School of Trade and Economics 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: 522-525

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）