CAJ | 학술논문

标普500指数期货（S＆P500）是世界发展比较成熟的期货。本文以之为研究对象，通过建立基于CVaR方法的预警体系进行预警，并且通过对沪深300与S＆P500指数期货的对比研究，发现两者具有的共同的统计特征。此外，在对该模型及风险度量方法进行模型验证的结果上发现，由于受到沪深300指数期货历史数据不足的限制，该模型的长期方差及短期方程中存在不显著的系数，但是CVaR对风险的度量仍然是有效的。
표보500지수기화（S＆P500）시세계발전비교성숙적기화。본문이지위연구대상，통과건립기우CVaR방법적예경체계진행예경，병차통과대호심300여S＆P500지수기화적대비연구，발현량자구유적공동적통계특정。차외，재대해모형급풍험도량방법진행모형험증적결과상발현，유우수도호심300지수기화역사수거불족적한제，해모형적장기방차급단기방정중존재불현저적계수，단시CVaR대풍험적도량잉연시유효적。
Standard ＆ Poor＇ s 500 （S＆P 500） index futures are maturely de- veloped futures that qualify well as the study object of this paper. By evaluating the risk of S＆P 500 through building an Asymmetric Component Auto-Regres- sion Conditions Heteroscedastic （CARCH） model and carrying out a comparative analysis, we prove that CSI 300 index futures and S＆P 500 index futures share common statistical characteristics. Having verified the model and the method for risk evaluation, this study comes up with the finding suggesting that the method to measure the risk with CVaR model is valid and effective, despite the presence of insignificant coefficients in both the model＇ s long-term and short-term equa- tions as a result of the imperfect database in the CSI 300 index futures history.