Measurement of HIS Stock Index Futures Market Risk Based on Value-at-Risk

This paper examines the forecasting of value-at-risk model. We explore and compare two different possible sources of performance improvement: asymmetry in the conditional variance and fat-tailed distributions. The HIS stock index futures are studied using daily data. Our result suggest that for asset returns which exhibit fatter and volatility clustering, like the HIS stock index futures, the VaR values produced by the normal APARCH model are preferred at lower confidence level.