Research Article
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
Table 2
The descriptive statistics of basis sequences for stock index futures.
| | Stock index futures | Mean value | Standard deviation | Skewness | Kurtosis | JB statistics | P-value |
| | CSI 300 | 0.205 | 1.061 | 2.717 | 22.22 | 32816.660 | 0.000 |
| | SSE 50 | 0.471 | 0.964 | 3.135 | 22.03 | 12778.254 | 0.000 |
| | CSI 500 | 1.414 | 1.727 | 2.439 | 12.849 | 3845.504 | 0.000 |
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