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Empirical Analysis of Stock Index Futures Risk Management Based on CVaR-GARCH-GED Model

In: Proceedings of 20th International Conference on Industrial Engineering and Engineering Management

Author

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  • Xiao-bo Zhang

    (North China Electric Power University)

Abstract

In this paper, we first introduce the CVaR-GARCH-GED model. The data we choose are HS300 stock index futures, HSI futures and TAIEX futures. We initially run some statistical tests about the data set. Afterwards we estimate CVaR with respective best GARCH model and use the Kupiec’s backtesting measure to test statistical adequacy. From the results we conclude that GARCH model and GED can well describe the feature of volatility clustering and fat-tail of return series. And CVaR performs generally well in risk measurement, but as the demand in adequacy and market risk increase, CVaR as a risk measurement needs improving.

Suggested Citation

  • Xiao-bo Zhang, 2013. "Empirical Analysis of Stock Index Futures Risk Management Based on CVaR-GARCH-GED Model," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), Proceedings of 20th International Conference on Industrial Engineering and Engineering Management, edition 127, pages 651-658, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-40072-8_65
    DOI: 10.1007/978-3-642-40072-8_65
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