使用VaR模型研究股指期货的基差风险:中国期货市场的证据  

Using the VaR Model to Study Basis Risk in Stock Index Futures: Evidence from the Chinese Futures Market

作　　者：陈文杰 郑浩 周天宝 

机构地区：[1]上海理工大学能源与动力工程学院,上海

出　　处：《运筹与模糊学》2024年第1期456-473,共18页Operations Research and Fuzziology

摘　　要：本论文以沪深300期货指数为研究对象,探讨VaR-GARCH模型能否成为评估期货市场的有效工具。以往的研究结果主要集中在VaR模型和GARCH模型中的一个,很少有研究将两者联系起来。本论文的研究结果表明GARCH(1, 1)能以较高的精确度预测期货的波动性,这可以作为风险价值的输入值。此外,TGARCH模型的结果表明,负面信息比正面信息的影响更大,而使用EGARCH模型估计的风险价值都小于原始GARCH和TGARCH。This paper takes the CSI 300 futures index as the research object to explore whether the VaR-GARCH model can become an effective tool for evaluating the futures market. Previous research results have mainly focused on one of the VaR model and the GARCH model, and few studies have linked the two. The research results of this paper show that GARCH (1, 1) can predict future volatility with high accuracy, which can be used as an input value for risk value. In addition, the results of the TGARCH model show that negative information has a greater impact than positive information, and the values at risk estimated using the EGARCH model are smaller than the original GARCH and TGARCH.

关 键 词：VAR模型 股指期货 基差风险 

分 类 号：F83[经济管理—金融学]