Research on the value at risk of basis for stock index futures hedging in China based on two-state Markov process and semiparametric RS-GARCH model

DOI10.1155/2019/8904162zbMATH Open1453.91110OpenAlexW2946860213WikidataQ127751823 ScholiaQ127751823MaRDI QIDQ2296591FDOQ2296591

Authors: Liang Wang, Tingjia Xu, Longhao Qin, Chenge Liu 

Publication date: 18 February 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/8904162

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive conditional heteroskedasticity and changes in regime
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Markov-Switching GARCH Modelling of Value-at-Risk
• The \(L^2\)-structures of standard and switching-regime GARCH models

Cited In (9)

• The application of a SPAN system based on a VaR model in margin level setting of Chinese stock index futures
• Research on optimal hedging ratio of Chinese stock market based on higher moments HAR model
• Hybrid method of using neural networks and ARMA model to forecast value at risk (VAR) in the Chinese stock market
• A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model
• The financial measurement of VaR under the GARCH model based on empirical distribution
• A theoretical framework incorporating the basic convergence effect in the value-at-risk model
• Combine GARCH model and neural networks to forecast Value at Risk (VAR) in the futures market
• Research on market risk measures considering impacts of spot-future spread upon high-order moments
• Research on RMB exchange rate volatility risk based on MSGARCH-VaR model

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