摘要
沪深300股指期货于2010年上市交易之后,不仅完善了国内的期货市场,而且在管理股市的风险方面也发挥了重大的作用.股指期货在我国的发展尚属于初级阶段,研究股指期货的风险对于整个金融市场稳定、资源配置、风险控制等有着非常重要的意义.GARCH模型可以较好的模拟金融时间序列的时变方差性,本文采用VaR-GARCH模型来研究股指期货的市场风险,结果表明:利用VaR模型有低估风险的可能.结合具体实证结果,提出进一步防范我国股指期货风险的措施.
After the listing of CSI 300 stock index futures in 2010,it not only improves the domestic futures market,but also plays a major role in the management of the risk of stock market.GARCH model can better simulate the time-varying variance of financial time series,this article uses the VaR-GARCH model to study the stock index futures market risk,the results show that using VaR model may underestimate the risk.Based on the empirical results,this paper puts forward further measures against the risk of stock index futures in our country.
出处
《阴山学刊（自然科学版）》
2018年第1期21-23,共3页
Yinshan Academic Journal(Natural Science Edition)
