Woradee Jongadsayakul

Department of Economics, Kasetsart University,

Thailand

fecowdj@ku.ac.th

ORCID 0000-0002-9807-2138

Determinants of value at risk for SET50 index futures contract

Abstract. SET50 Index Futures contract is the first and most actively traded equity index futures contract on the Thailand Futures Exchange. However, futures trading is risky and requires that investors understand factors affecting risk. Therefore, this study uses monthly data from May 2014 to December 2024 for identifying the determinants of SET50 Index Futures contract’s risk, quantified by Value at Risk (VaR). To calculate VaR of SET50 Index Futures, this study employs parametric method using EGARCH model for estimating volatility. Factors, including macroeconomic factors, futures trading activity, and underlying SET50 Index factors, are included as independent variables in a regression model.  Using ordinary least squares approach, the results show that inflation rate and rate of change in exchange rate are the only macroeconomic factors affecting SET50 Index Futures contract’s VaR. In addition, volume and open interest of SET50 Index Futures as well as liquidity and past volatility of its underlying asset affect VaR. Therefore, investors and related agencies should track inflation rate and exchange rate since they are crucial factors affecting risk for SET50 Index Futures. Understanding the determinants of risk for SET50 Index Futures contract allows for better risk assessment, informed trading strategies, and more successful participation in the futures market.

Received: June, 2025

1st Revision: January, 2026

Accepted: March, 2026

DOI: 10.14254/2071-8330.2026/19-1/12

JEL Classification: G11, G23, G32

Keywords: Value at Risk, index futures, Thailand, volatility, EGARCH model