DocumentCode
2641337
Title
Notice of Retraction
The empirical study on the risk measurement of stock index futures
Author
Wang Chu-ming
Author_Institution
Sch. of Finance, Shanghai Lixin Univ. of Commerce, Shanghai, China
Volume
3
fYear
2010
fDate
17-19 Sept. 2010
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Both CVaR-GARCH-GED model and CVaR-SV-N model can be used to describe the characters of the stock index futures return, such as peaks, thick tails and volatility clustering. The paper apply the two models to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1012).The conclusion is that fluctuations of CVaR forecast earnings based on both models are in compliance with the trend of the original returns. However, the CVaR accuracy test reveals that the accuracy of CVaR-SV-N forecast earnings under 99% confidence level is dramatic, that is, the CVaR-SV-N model can measure the risk more accurately than the CVaR-GARCH-GED model does.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Both CVaR-GARCH-GED model and CVaR-SV-N model can be used to describe the characters of the stock index futures return, such as peaks, thick tails and volatility clustering. The paper apply the two models to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1012).The conclusion is that fluctuations of CVaR forecast earnings based on both models are in compliance with the trend of the original returns. However, the CVaR accuracy test reveals that the accuracy of CVaR-SV-N forecast earnings under 99% confidence level is dramatic, that is, the CVaR-SV-N model can measure the risk more accurately than the CVaR-GARCH-GED model does.
Keywords
forecasting theory; risk management; stock markets; CVaR forecast earning; CVaR-GARCH-GED model; CVaR-SV-N model; Shanghai 300 main contracts; Shenzhen 300 main contracts; risk measurement; stock index futures return; Accuracy; Fluctuations; Heating; Yttrium; CVaR-GARCH-GED model; CVaR-SV-N model; stock index futures;
fLanguage
English
Publisher
ieee
Conference_Titel
Educational and Information Technology (ICEIT), 2010 International Conference on
Conference_Location
Chongqing
Print_ISBN
978-1-4244-8033-3
Type
conf
DOI
10.1109/ICEIT.2010.5607533
Filename
5607533
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