Research on the Value at Risk of Basis for Stock Index Futures Hedging in China Based on Two-State Markov Process and Semiparametric RS-GARCH Model

Table 5

The steady-state probability and state transition probability of basis sequences for stock index futures.

Stock index futures	Probability
			P	Q
CSI 300	0.766	0.234	0.827	0.435
SSE 50	0.835	0.165	0.907	0.532
CSI 500	0.765	0.235	0.788	0.307