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 7

The estimation of conditional variance for parametric and semiparametric RS-GARCH models.

Stock index futures	Model	Mean value	Standard deviation	Maximum	Minimum
SSE 50	Parametric RS-GARCH	0.556	0.841	9.970	0.235
	Semi-parametric RS-GARCH	0.522	0.668	7.353	0.279
CSI 500	Parametric RS-GARCH	1.023	1.715	28.663	0.488
	Semi-parametric RS-GARCH	0.9705	1.001	18.758	0.729
CSI 300	Parametric RS-GARCH	2.461	1.419	26.839	0.934
	Semi-parametric RS-GARCH	2.409	1.225	27.455	0.933