基于VaR-GARCH模型的金融衍生工具市场风险研究——以沪深300股指期货为例  

Study on the Market Risk of Financial Derivatives Based on VaR-GARCH Model——Taking Shanghai and Shenzhen 300 Stock Index Futures as an Example

作　　者：纪广月 JI Guang-yue(Xijiang College of Guangdong,Zhaoqing 526020,Guangdong,China)

机构地区：[1]广东西江学院,广东肇庆526020

出　　处：《山西师范大学学报（自然科学版）》2018年第3期17-20,共4页Journal of Shanxi Normal University(Natural Science Edition)

基　　金：广东省财政厅2015-2016年度会计科研课题(2015A75)

摘　　要：针对我国金融衍生工具市场风险问题,本文利用沪深300股指期货的日数据,运用VaRGARCH模型对沪深300股指期货市场风险进行了实证研究.研究表明股指期货收益率序列具有尖峰后尾、集聚、平稳的特点.利用GARCH模型中的条件方差计算VaR的值,由此度量股指期货市场风险,并给出控制其风险的对策,从而获得控制股指期货市场风险的理论和方法.For China＇s financial derivatives market risk,the CSI 300 stock index futures daily data,uses VaR-GARCH model of CSI 300 stock index futures market risk for empirical research. The study shows that stock index futures return rate series with peak tail,agglomeration,smooth features. Using GARCH model to calculate the conditional variance VaR values,which measure the risk of stock index futures market,and gives control the countermeasure of the risk,so as to gain control over the theory and method of the risk of stock index futures market.

关 键 词：VAR-GARCH模型 金融衍生工具 市场风险 股指期货 

分 类 号：F830.9[经济管理—金融学] F832.59