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

DOI10.1155/2019/8904162MaRDI QIDQ2296591zbMATH OpenOpenAlexWikidataFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• 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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