| China officially launched the CSI 300 Stock Index Futures,which marks that the development of China’s capital market has taken a big step.With the development of China’s securities market,the single stock index futures has become a bottleneck restricting the development of China’s securities market.The Securities Regulatory Commission published the Shanghai 50 Stock Index Futures and the CSI 500 Stock Index Futures,which has met the demand of the securities market hedging and increased the stock market’ risk.Regulators and investors are required to measure risk of stock index futures from a new perspective.However,at this stage,regulators and investors still uses the existing risk prevention system,which is not conducive to the development of stock index futures.Therefore,this paper analyzes the volatility and risk of China’s three major stock index futures to determine the volatility and risk of China’s stock index futures,and to provide a reference for regulators and investors to prevent the risk of China’s three major stock index future.Firstly,the paper introduces the relvant concept,trading system,function and the theory of stock index futures risk measurement,then summarizes the cause of the stock index futures volatility and risk.Secondly,the paper selects the closing data of chinese three major stock index futures and makes descriptive statistics analysis,then tests the data of stock index futures,such as stationarity test,autocorrelation test and so on.The paper uses t-GARCH(1,1)model to quantitatively analyze the volatility characteristics of the three major stock index futures in China,which is the basis for the use of t-GARCH-VaR model to measure the risk of China’s top three stock index futuresThirdly,the paper uses the variance-covariance of the VaR model and t-GARCH(1,1)-VaR model to measure the risk of the three major stock index futures in China,then judges whether the three stock index futures risk estimates can be tested by kupiec at different confidence levels.Finally,according to the results of the empirical analysis and the related theory,thispaper puts forward countermeasures and suggestions to improve the stock index futures market in China from the perspective of suppressing stock index futures abnormal fluctuations and reducing the risk of stock index futures. |
