Empirical Study on the Risk Forecast of Stock Index Futures and the CVaR-GARCH-GED Model

摘要：

CVaR-GARCH-GED 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-GARCH-GED model to the empirical study on the data sample collecting from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1005).The conclusion is that fluctuations of CVaR forecast earnings based on GARCH-GED 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-GARCH-GED model can predict the risk accurately.

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

作者: WANG Lina

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

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 434-438

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）