Risk Control of Stock Index Futures in China Based on EGARCH-VaR Model

This paper presents an empirical and normative study of the risk management of stock index futures in China. After a brief discussion of VaR and EGARCH model, this paper focuses on the application of EGARCH-VaR model to calculate the VaR value of Shanghai and Shenzhen 300 stock index futures contracts IF1106. The rVaResult indicates that the EGARCH-VaR model is suitable for the Stock Index Futures risk management in China.