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 6

The estimation of parameters of RS-GARCH model.

The parameters of RS-GARCH model	CSI 300 stock	SSE 50 stock	CSI 500 stock
	index futures	index futures	index futures
(19.059)	(12.343)	(13.307)

Note: , , and mean that the parameters are significant at significance levels of 10%, 5%, and 1%, respectively, and it is t-statistic in parentheses.