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Futures and Spot Market Volatility Spillover Effects and VaR Risk Management

Author: QiuZuo
Tutor: YeHang
School: Zhejiang University
Course: Finance
Keywords: Stock index futures Time - varying correlation Volatility overflow VaR risk management
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 162
Quote: 0
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Abstract


CSI 300 stock index futures is officially listed as the background . Summarizes the theoretical and empirical research related to the volatility of the financial data , focused review of volatility spillovers and VaR risk management theory , and focus on the combination between the application level . Research from the point of view of the behavior of traders to build a model of stock index futures and stock market volatility associated , elaborate Chu Lie Siji decomposition time-varying volatility model analysis theory and VaR risk management theory . Empirical Study of the CSI 300 Index , a brief description of the operation of the futures and spot in the last four years , focused on establishing a time-varying conditions based on the Shanghai and Shenzhen 300 Index volatility model to analyze volatility spillovers , at the same time , according to the model the volatility data fitting day VaR risk calculation . The study found that the CSI 300 futures return volatility of the spot market is closely related to , and live trading phase of this correlation is closer description of the relationship of multivariate time series between volatility affect the model fitting efficiency , time-varying conditions model is a high - efficiency model , VaR risk management can better guide .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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