Market Risk Assessment Of China's Stock Index Futures Based On VaR-GARCH Model

As a kind of derivative financial instruments, Stock index future has an important positive influence on improving trading function on the stock market, reducing transaction costs, improving price mechanism on stock market. It can also provide more price risk hedging mechanisms to stock investors. But the stock index future is also a double-edged sword, its price volatility characteristic and blow-up effect of margin are easy to expand the leverage of risk as well as their function of hedging. Since the launch of stock index future in our Country, it has experienced a dramatic increase in the trading volume, so it has great significance to measure the risk of stock index future market.The main content in this paper is risk assessment on the stock index future market. In the preamble, we review the literature from domestic and foreign scholars about risk assessment methods, characteristics of stock index future and factors influence stock index future. Based on the summary of literature about risk assessment, we find that with the impact of spot market was almost neglected, which become a breakthrough in this paper.In the first chapter, we describe the basic theories of stock index future, including the meaning and function of stock index, besides, it also explain the establishment of the index for stock future. Then it introduces the concept, characteristics and functions of stock index future. After that, it divide the risks of stock index future into six categories and then introduce them respectively, finally it is an overview of the development of stock index future market.In the second chapter, it analyzes the market risks of stock index future. At first of stock index futures are divided into four types, followed by the analysis of causes for market risks form four aspects: stock index futures market characteristics, macro-economic environment, economic policies and other factors. And then elaborates the influence of market risks from stock index futures, it is expanded from the contagion effect, the system failure risk and price distortions. Finally it builds an index system which affect stock index futures market risk. In the third chapter, Correlative test on factors affect stock index futures market risks are made by econometric methods. We select four indicators including the price of stock index futures, price of stock index, interest rate and exchange rate. Through stationary test, cointegration test, impulse response function and variance decomposition, we find that in the half year we choose, interest rate and exchange rate have no direct and significant impact on stock index futures, but there is cointegration relationship between stock index futures prices and stock prices.In the fourth chapter, evaluation methods on the stock index futures market risks are introduced. In the first part, it introduces meaning of VaR (value at risk) method, 3 kinds of VaR calculation methods and uses of VaR, etc. And then it introduces models of GARCH and EGARCH which are used to calculate VaR.In the Chapter five, after stationarity test, normality test and ARCH test, existence of ARCH effects is found in stock index futures index .Then through the Granger causality test, we find that stock price index yield lagged effect to the return rate of stock index futures in order 1. In response to this, it use GARCH model and EGARCH model to estimate the maximum loss value of the next trading day. The results show that, overall, GARCH model is easy to underestimate the risk because it can not solve the non-normal return series features efficiently. EGARCH model is better than GARCH model in terms of estimation results. In the EGARCH model, the estimation result from assumption of the students t distribution is better than normal distribution assumption.In the Chapter six, there is the conclusion of this paper. Through the model estimation, we find that return rate of stock index futures have "fat tail" feature, and it is asymmetric distribution. In terms of price trend, in the delivery month, the convergence from stock index futures return rate to the stock price index return rate is increasingly clear, during this time, market risks of stock index futures are impacted intensity by the strong spot market.