Abstract
本文以恒生指数期货1997年3月2日至2017年5月2日的4673对收盘价格和收益率数据为研究对象，利用Eviews 9.0建立的GARCH族模型，验证了恒指期货的波动性、条件异方差性、非对称性等特点，并通过模型结果定量给出了利好、利空等消息对股指的影响程度。利用GARCH模型得到的条件方差，建立VaR模型预测恒指期货市场风险，预测结果基本涵盖其波动范围，表明GARCH-VaR模型可以很好控制和预测恒指期货市场风险。 In this paper, we take 4673 pairs of closing price and yield data of Hang Seng Index futures from March 2nd 1997 to May 2nd 2017, and establish the GARCH model by Eviews 9.0. The characteristics of volatility, conditional heteroscedasticity and asymmetry of HSI futures are verified, and the influence of good and bad news on stock index is given quantitatively through the model results. Based on the conditional variance obtained from GARCH model, a VAR model is established to predict the market risk of HSI futures. The forecasting results basically cover its fluctuation range, which indicates that GARCH-VAR model can well control and predict HSI futures market risk.
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