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 4
The state transition statistics of basis sequences for stock index futures.
| | CSI 300 | State 1 | State 2 | SSE 50 | State 1 | State 2 | CSI 500 | State 1 | State 2 |
| | State 1 | 801 times | 307 times | State 1 | 136 times | 70 times | State 1 | 174 times | 63 times | | State 2 | 306 times | 200 times | State 2 | 69 times | 127 times | State 2 | 63 times | 102 times |
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