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 8

The parameter estimation results of GARCH model.

Stock index futures	GARCH parameters
	SSE 50	0.062(0.000)	0.404(0.000)	0.556(0.000)
CSI 500	0.687(0.018)	0.600(0.000)	0.347(0.000)
CSI 300	0.303(0.000)	0.542(0.000)	0.388(0.000)