Research on Risk of Stock Index Futures Market Based on EGARCH Model

论文摘要

Volatility is an important indicator to measure the risk of financial market.The EGARCH model is established by using the logarithmic yield of the China Securities Index(CSI) 300 stock index futures from January 2014 to August 2017,then the volatility and yield of the data in the last three months are back tested to confirm the reliability of the model.Furthermore,based on the established EGARCH model,the future volatility and yield are forecasted,and the value at risk of stock index futures contract is calculated.At last,the error of our EGARCH model is determined by compare the predicted yield with actual value.

论文目录

• Introduction
• Preliminaries
•   Logarithmic Yield
•   ARMA Model
•   EGARCH Model
•   Value at Risk
• Empirical Analysis
•   Stability Test
•   ARCH Test
•   EGARCH Model
•   Model Back Testing
• Value at Risk
• Forecast the Yield
• Summary

文章来源

类型: 国际会议

作者: Yu WANG,Qing-feng ZHU

来源: 2019 International Conference on Education, Management, Business and Accounting (EMBA 2019) 2019-01-20

年度: 2019

分类: 基础科学,经济与管理科学

专业: 数学,宏观经济管理与可持续发展,金融,证券,投资

单位: School of Mathematic and Quantitative Economics,Shandong University of Finance and Economics,Institute for Financial Studies and School of Mathematics,Shandong University

分类号: F832.51;F224;F832.5

DOI: 10.26914/c.cnkihy.2019.077715

页码: 334-340

总页数: 7

文件大小: 743k