Analysis On The Risk Of Stock Index Futures Market Based On Quantile Regression Model

With the increasingly standardized development of China's futures market,the increasing size of the market and the gradual improvement of the capital market system,China's first stock index futures--CSI 300 Index Futures--were launched on April 16,2010.There are market transactions,there will be risks.With the acceleration of globalization,the risks in the financial market have attracted more and more attention.In the field of financial risk management,as a globally recognized risk measurement tool,VaR has been recognized and widely used by financial institutions around the world.There are many methods to calculate VaR,among which the quantile method is one of the useful and robust regression methods.Considering the characteristics of sharp peaks and thick tails of financial data,the quantile regression has a better effect.In this paper,three futures of CSI 300 stock index futures(IF),CSI 500 stock index futures(IC)and SSE 50 stock index futures(IH)from August 31,2015 to December 31,2020 are selected as the research objects.Through statistical description of their logarithmic returns,it is concluded that the three data series are all right-skewed.It has the distribution characteristic of "sharp peak and thick tail".Then the quantile regression model was used to calculate the VaR of the futures market,and the likelihood ratio test was used to evaluate the model.The LR value was close to 0,indicating that the model performed well.Compared with QR-ARCH(1),QR-GARCH(1,1)can accurately and effectively measure the VaR value of the three markets,reflecting some changes in China's stock index futures market in more detail.Through the above analysis,we find that there are also differences among the three index futures in China's stock index futures market,because the index market sizes of the three stock index futures are different,and the selected stocks represent different industries and market values of listed companies,which leads to the differences in the final analysis results.In this paper,the quantile regression method is introduced into the calculation of VaR value.The quantile regression does not need to make any distribution assumption,and the risk situation of China's stock index futures market can be well described by using this method.Investors can use the model as a reference to formulate their own investment strategies.As the global pandemic complicates international financial markets,the significant implications of a "black swan" event should be noted.Adjust the risk hedging strategy according to the national policy and various financial markets.