基于CVaR-SV-N模型的股指期货风险度量  

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

作　　者：王丽娜[1] 张丽娟[2] 

机构地区：[1]上海立信会计学院,上海201620 [2]上海大学,上海200444

出　　处：《南方金融》2010年第10期60-64,共5页South China Finance

基　　金：上海市教育委员会科研创新项目(项目编号:06QS007);教育部人文社科规划项目(项目编号:08JA790083)的资助

摘　　要：CVaR-SV-N模型能够更好地刻画股指期货收益率序列尖峰、厚尾和波动集群性的特征。以我国沪深300指数期货合约(IF1012)的日收益率为样本的实证分析表明建立在SV-N模型基础上的CVaR预测收益率涨跌波动与原始收益率的变化趋势比较一致,CVaR准确性检验说明CVaR预测收益的准确性在统计上是显著的,能够较准确地预测风险。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, This paper apply the CVaR-SV-N model to the empirically study the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 contracts （IF1012）.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% and 99% confidence level is dramatic, that is, the CVaR-SV-N model can predict the risk accurately.

关 键 词：股指期货 CVAR模型 SV—N模型 

分 类 号：F224[经济管理—国民经济] F832.51