The Empirical Analysis of the Risk of NYMEX Crude Oil Futures Market Based on the VAR-GARCH Model
The NYMEX crude oil futures market is an oil trading platform which has the largest liquidity, its market price following the trend of world oil prices. In recent years, the frequent crude oil crisis has brought great harm to the stability of the world economic. The quantitative analysis method of the risk of crude oil futures market has always focused on independent symmetry of normal distribution hypothesis of the VAR method, but the accuracy is not very ideal, while the VAR-GARCH model to estimate the results is more accurate than traditional VAR results. This paper tries to use the VAR-GARCH model to estimate the variance of crude oil futures prices yield, improve traditionally-poor VAR estimates and, through empirical analysis, estimate oil futures market risk.
NYMEX crude oil futures market Risk measurement VAR-GARCH model
OUYANG Lingyu DU Jia
School of Economics and Management, Beijing Jiaotong University, China, 100044
国际会议
The Ninth International Forum--International Trade and Investment(第九届国际贸易与投资国际论坛)
昆明
英文
289-295
2012-07-13（万方平台首次上网日期，不代表论文的发表时间）