Research on Risk of Stock Index Futures Market Based on EGARCH Model

Abstract

Volatility is an important indicator to measure the risk of financial market. The EGARCH model is established by using the logarithmic yield of the China Securities Index (CSI) 300 stock index futures from January 2014 to August 2017, then the volatility and yield of the data in the last three months are back tested to confirm the reliability of the model. Furthermore, based on the established EGARCH model, the future volatility and yield are forecasted, and the value at risk of stock index futures contract is calculated. At last, the error of our EGARCH model is determined by compare the predicted yield with actual value.