股指期货是以股票指数作为标的的金融衍生产品，是一种同时具有投资和避险双重功能的金融工具，能够为市场参与者提供冲击风险的途径，利用股指期货进行套利也是股指期货的主要用途之一，但其中的风险也是不言而喻的。本文基于沪深300股指期货2011-2012年两年间每个交易日的收盘数据，重点应用基于GARCH模型的VaR方法，对沪深300股指期货进行风险度量的实证研究，计算出VaR值，并做了可靠性检验。分析结果显示Var值不仅能够直接评估股指期货合约的市场风险，还能测出下一交易日的潜在最大损失，表明运用VaR—GARCH模型进行度量和控制风险是有效的。
关键词：股指期货、VaR—GARCH模型、风险管理
Stock index futures is the stock index as the subject of the financial derivative products, is a kind of both investment and hedge the dual function of financial instruments, ways to provide impact risk to market participants, one of the main purposes of stock index futures arbitrage is the use of stock index futures. in this paper, the Shanghai and Shenzhen 300 stock index futures 2011-2012 over the two years daily closing data based on, focuses on the application of VaR method based on GARCH model, the empirical research on risk measurement of Shanghai and Shenzhen 300 stock index futures, the calculated VaR value, and the reliability test. The results shows that the value of VaR is not only able to directly evaluate the futures market risk, the maximum potential loss can detect the next trading day, that run VaR – GARCH model to measure and control the risk is effective.
Key word：Stock index futures；VaR – GARCH model；Risk management
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