H-shares Index Futures Risk Measure Parameters Were Studied

The stock index futures of Hushen 300 is approaching. And it is well known that the stock index future is a financial derivative product with high risk. So the market risk of stock index futures needs to be study urgently. The stock index futures of H share is selected as the object for empirical research, because it was issued successfully. There are two main methods to calculate VaR of stock index futures, parametric method and nonparametric method. In this thesis, parametric method is used.After profoundly studying, some important conclusions are obtained.Firstly, GARCH group with different distributions and the model of EVT-GARCH are both suitable for measuring VaR of the index futures of H Share.Secondly, the serious defect of EVT method is proved. To be specific, the method of EVT depends heavily on its threshold value.Thirdly, the important result is that the model of PARCH under generalized error distribution is the best method to estimate VaR and CVaR of stock index futures of H.In the end, the forecast value of VaR and CVaR by the way of static prediction based on the model of GED-PARCH is given in this paper.In summary, these conclusions should have great significance for reference, particularly when the stock index futures of Hushen 300 is pushed out.