Measurement of HIS Stock Index Futures Market Risk Based on Value-at-Risk

Author

Dan, Yan ; Zhiyong, Gong

Author_Institution

Sch. of Manage., South China Univ. of Technol., Guangzhou, China

Volume

3

fYear

2009

fDate

26-27 Dec. 2009

Firstpage

78

Lastpage

81

Abstract

This paper examines the forecasting of value-at-risk model. We explore and compare two different possible sources of performance improvement: asymmetry in the conditional variance and fat-tailed distributions. The HIS stock index futures are studied using daily data. Our result suggest that for asset returns which exhibit fatter and volatility clustering, like the HIS stock index futures, the VaR values produced by the normal APARCH model are preferred at lower confidence level.

Keywords

autoregressive processes; risk management; stock markets; APARCH model; HIS stock index futures market risk; asset returns; asymmetric power autoregressive conditional heteroskedastic; conditional variance; confidence level; fat-tailed distributions; forecasting; performance improvement; value-at-risk; volatility clustering; Contracts; Electric shock; Industrial engineering; Information management; Innovation management; Portfolios; Predictive models; Reactive power; Sea measurements; Technological innovation; APARCH; stock index future; value-at-risk;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on

Conference_Location

Xi´an

Print_ISBN

978-0-7695-3876-1

Type

conf

DOI

10.1109/ICIII.2009.329

Filename

5369747