Var Estimation Method Adjustted By Event Risk

Since the method of VaR risk measurement has been proposed, it has been widely used in the prediction of financial assets and its combination of the loss value, and has become the mainstream of risk measurement in financial markets. VaR is simple and intuitive, but the measurement is a challenge. Recently, it has become a key research on how to improve the prediction accuracy of VaR both at home and abroad.In recent years, many scholars did researches on the use of VaR in the futures market, but mostly limited to the commodity futures market. With the establishment of China Financial Futures Exchange, and the fast development of Shanghai and Shenzhen 300 stock index futures simulation trading, the study of VaR suitable for stock index futures market risk measurement has been practically valuable.The writer thinks that event risk which makes the asset price change rapidly is one of the important factors affecting the value of VaR, and suggests building VaR models covering event risk to improve the accuracy of prediction. First the meaning of event risk and its estimation method is proposed in the paper. Then the improved formula for calculating VaR covers event risk, as well as three specific calculation methods, like hopping-EGARCH are proposed, which is supported by the research on Continuous Index Hang Seng Index Futures. Result shows the VaR method covers event risk can not only significantly reduced the number of exceptions, but also improve the effectiveness of the traditional VaR method. Also the research shows, K= 2 is a reasonable value to describe the event risk of HSI futures market, and 0.95 is the most appropriate measure of the HSI futures market risk level of confidence.