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 9

The estimation results of VaR of the basis for stock index futures.

Stock index futures	Long/Short	Model	Confidence level	Mean value	Standard deviation	Maximum	Minimum
SSE 50		RS-GARCH	95%	1.537	1.179	10.908	0.039
			97.5%	1.747	1.265	11.759	0.243
			99%	1.991	1.368	12.748	0.479
		Semi-parametric RS-GARCH	95%	1.533	1.107	11.825	0.082
			97.5%	1.742	1.177	12.680	0.091
			99%	1.985	1.262	13.673	0.332
		RS-GARCH	95%	0.654	0.735	5.303	0.003
			97.5%	0.863	0.766	6.017	0.021
			99%	1.107	0.817	6.846	0.023
		Semi-parametric RS-GARCH	95%	0.651	0.729	5.760	0.008
			97.5%	0.860	0.747	6.525	0.012
			99%	1.103	0.780	7.413	0.015
CSI 500		RS-GARCH	95%	2.889	2.012	18.163	0.075
			97.5%	3.451	2.117	19.850	0.248
			99%	3.535	2.244	21.809	0.662
		Semi-parametric RS-GARCH	95%	2.830	1.791	15.028	0.121
			97.5%	3.188	1.846	15.684	0.405
			99%	3.117	1.913	16.446	0.066
		RS-GARCH	95%	0.225	1.397	7.901	0.005
			97.5%	0.523	1.404	9.015	0.009
			99%	0.871	1.415	10.310	0.024
		Semi-parametric RS-GARCH	95%	0.166	1.343	5.117	0.004
			97.5%	0.453	1.345	5.653	0.005
			99%	0.787	1.365	6.564	0.032
CSI 300		RS-GARCH	95%	2.693	0.949	15.107	1.803
			97.5%	3.179	1.031	16.739	2.314
			99%	3.742	1.129	18.635	2.668
		Semi-parametric RS-GARCH	95%	2.677	0.902	15.536	1.509
			97.5%	3.159	0.973	17.187	2.150
			99%	3.720	1.0576	19.105	2.667
		RS-GARCH	95%	2.374	0.503	13.633	1.169
			97.5%	2.859	0.540	15.210	1.474
			99%	3.423	0.599	17.041	1.828
		Semi-parametric RS-GARCH	95%	2.358	0.4596	7.375	0.293
			97.5%	2.840	0.4783	8.306	1.431
			99%	3.401	0.5153	9.387	1.827

Note: denotes the VaR of the basis for the long hedge, and is the VaR of the basis for the short hedge.