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Both CVaR-GARCH-GED model and CVaR-SV-N model can be used to describe the characters of the stock index futures return, such as peaks, thick tails and volatility clustering. The paper apply the two models to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1012).The conclusion is that fluctuations of CVaR forecast...
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