| 基于VaR的沪深300股指期货风险管理实证研究 |
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| 引用本文： | 蒋虹,曲丹丹. 基于VaR的沪深300股指期货风险管理实证研究[J]. 经济问题, 2008, 0(12) |
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| 作者姓名： | 蒋虹 曲丹丹 |
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| 作者单位： | 北京航空航天大学经济管理学院 |
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| 摘 要： | 我国以沪深300为标的指数的股指期货即将推出。股指期货在具有控制风险功能的同时,也与其他金融衍生产品一样,具有风险性,且其风险远远大于股票现货市场。因此,必须采用积极的风险管理技术,加强对股指期货的风险防范。在GARCH模型的基础上,采用VaR方法对我国的沪深300股指期货仿真交易进行定量研究,计算出它们的VaR值,并将其与期望值进行比较。经过对比分析可以得出:基于GARCH模型的VaR方法适合我国的股指期货风险管理。
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| 关 键 词： | 股指期货 VaR 风险管理 |
Empirical Analysis on HS300 Stock Index Futuresrisk Management with VaR |
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| JIANG Hong,QU Dan-dan. Empirical Analysis on HS300 Stock Index Futuresrisk Management with VaR[J]. On Economic Problems, 2008, 0(12) |
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| Authors: | JIANG Hong QU Dan-dan |
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| Affiliation: | JIANG Hong,QU Dan-dan(School of Economics & Management,Beihang University,Beijing 100083,China) |
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| Abstract: | China's HS300 stock index futures is going to be launched.While the stock index futures has a function of risk control,it has risk as some other financial derivative products.And the risk is far bigger than the one of stock spot market.Therefore,we must adopt positive risk management techniques to strengthen the risk prevention of stock index futures.In this paper,based on the model of GARCH,we used VaR method to do empirical research on HS300 stock index futures simulation trading,calculated their values o... |
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| Keywords: | stock index futures VaR risk management |
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