Research On The Risks Of China’s Stock Index Futures Based On VaR Model

As a kind of derivative financial instruments, stock index futures is the fastest developed and most activity traded in the 1980 of the 20 th 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.Based on the relevant theoretical knowledge of stock index futures,with VaR-GARCH model, the study is expanded in two dimensions ways: Firstly,Analysis of return series of Csi300 stock index futures;secondly,Calculation of VaR.Research conclusions are as follows:The return series of Csi 300 stock index futures shows Price Clusterings,fat-tail distribution,and ARCH efficiency;For the Price Clusterings,fat-tail distribution,and ARCH efficiencyof the return series of Csi 300 stock index futures,GARCH(1, 1) model can estimate variance effectively; With the validity test of VaR,GARCH(1, 1)- GED model are the most close to 5% expected failure probability, and reflect the risks betterly. Therefore,The paper concludes that GARCH(1, 1)- GED model is more suitable for used as Csi 300 stock index futures risk measurement.