The Research On Risk Measurement Of Domestic Stock Index Futures

As a kind of derivative financial instruments, stock index futures is the fastest developed and most activity traded in the 1980 of the 20th century. Stock index futures have positive effect in many aspects; it can improve the price mechanism of stock markets, and provide price risk avoidance mechanism. With the development of China's security market, it is necessary to carry out the stock index future transaction, in order to improve the financial structure, avoiding the system risk and helping investor's portfolio management. HS 300 stock index futures traded on China Financial Futures Exchange on April 16,2010, it provides an effective tool to avoid systemic risk for our country's stock market. However, looking from the past experiences and lessons, we can see that there are two-side effects of stock index futures, one side is that stock index futures can promote the development of the stock market, another is the high-risk. If the stock index futures market had high risk, it will give huge losses to investors and the whole market, even affect the economic development. Therefore, the research on risk management of stock index futures, in particular, risk measurement has important theoretical significance and application value.Firstly, to introduce the theory of stock index futures, which the concept, characteristics and functions of index futures; to introduce the tapes and causes of risk of stock index futures, identify the risk of stock index futures. Secondly, the research focuses on risk measurement of stock index futures. It appears that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models could simulate the return of HS300 stock index futures. In order to find the best fitting models, the paper compares different types of GARCH models based on different distributions. The paper uses VaR method to measure value at risk and to check it out with Kupiec's approach, the result shows that it is effective. Finally, to learn from the experience of supervision of foreign stock index futures, we carry on the quantification analysis to measurement risk of stock index futures. We can propose the establishment of three regulatory models for risk control recommendations.The paper uses theory induction, deduction, comparative analysis and empirical analysis methods in the research process. The innovations lie in the following two aspects:(1) based on normal distribution, t distribution and general error distribution, to use of GARCH models to fit the volatility of return of HS 300 stock index futures, and to measure its risk with GARCH-VaR; (2) to set up a risk supervision system for risk control of China's stock index futures and put forward some suggestions to strength risk management.