沪深300指数及其股指期货市场风险预测——基于VaR-GARCH模型
Risk Prediction of the CSI 300 Index and Its Stock Index Futures Market—Based on the VaR-GARCH Model
摘要: 本文采用VaR-GARCH模型对沪深300指数及其股指期货市场的风险进行深入预测与分析。研究基于沪深300指数的历史数据，运用GARCH模型估计市场波动性，并结合VaR方法预测风险。实证分析显示，该模型能有效捕捉市场风险的动态变化，为投资者和政策制定者提供了科学的风险管理依据。研究还提出了基于VaR的重大损失管理和股指期现套利两种风险管理策略，旨在帮助投资者规避过高损失并优化市场资源配置，促进中国资本市场的稳定与成熟发展。
Abstract: This article uses the VaR-GARCH model to conduct in-depth prediction and analysis of the risks of the Shanghai and Shenzhen 300 Index and its stock index futures market. Research based on historical data of the Shanghai and Shenzhen 300 Index, using GARCH model to estimate market volatility, and combining VaR method to predict risk. Empirical analysis shows that the model can effectively capture the dynamic changes of market risks, providing scientific risk management basis for investors and policy makers. The study also proposed two risk management strategies based on VaR: significant loss management and stock index arbitrage, aimed at helping investors avoid excessive losses and optimize market resource allocation, promoting the stability and mature development of China’s capital market.
文章引用：胡丹. 沪深300指数及其股指期货市场风险预测——基于VaR-GARCH模型[J]. 电子商务评论, 2025, 14(3): 727-740. https://doi.org/10.12677/ecl.2025.143763

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