股指期货市场风险VaR度量实证研究毕业论文.doc

毕业论文 （2010届） 股指期货市场风险VaR度量实证研究 摘 要 自2010年4月，我国推出股指期货以来，至今已有一年多的时间。股指期货在完善资本市场的功能，增加股票市场流动性，规避股市系统风险，保护广大投资者的利益等方面，股指期货发挥了重大作用。但由于我国市场不够完善，以及股指期货本身的高杠杆性，我国股指期货市场还面临较大的风险。因此,评估目前我国股指期货的市场风险，加强风险管理，对我国股指期货的稳定运行具有重要的现实意义。 基于以上考虑，本文运用一种金融风险测量和控制的常用模型——VaR模型对我国股指期货市场风险进行分析。主要选取了方差协方差法，历史模拟法和GARCH法，采集了股指期货合约IF1006，IF1009，IF1012的交易日的数据，对其进行实证分析。本文结果显示我国股指期货市场的收益率基本服从标准的正态分布，但存在一定的尖峰厚尾的特点；此外历史模拟法，方差协方差法，GARCH法计算的VaR值均可以很好的拟合我国股指期货交易数据。其中历史模拟法的拟合程度最佳。充分说明使用VaR方法度量我国股指期货市场风险，完善风险度量制度具有可行性。 关键词：Abstract Since April 2010, it has been a year that China launched the stock index futures. In order to improve capital market, increase the stock market liquidity, change market operating mechanism, diversify the unilateral investment mode, avoid stock market system risk, protect the interests of the investors, etc., stock index futures played a significant role. As the stock-exponential futures are highly leveraged, the work of risk measurement is particularly important. VaR， as a financial risk measurement and control model, it is easier to operate, application scope. This paper mainly uses VaR model to measure the risk of stock-index futures market. In data source, this paper chose stock index futures contract IF1006, IF1009, and IF1012 for Empirical research. Based on the above consideration, this paper uses a kind of financial risk measurement and control of the common model of our country棗VaR model stock-index futures market risk analysis. Main uses the variance covariance method, history simulation method and GARCH method, collected 3 stock index futures contract, IF1006 IF1009 IF1012 trading days of data for the empirical analysis. Our results show that our stock index futures market yields of basic obey standard normal distribution, but there are certain rush thick tail characteristic; Besides history simulation method, the variance covariance method, the GARCH method for calculating the VaR all can very good value our stock index futures trading fitting data. The fitting o