Study on Extreme Risk Measurement of Chinese Soybean Futures Market--VaR Based on GARCH Model
Accurate risk measurement is critical to improve the level of market risk quantitative management.At present the indicator of VaR has been widely applied in the measurement of agricultural market extreme risk.However, the basic application research of VaR estimation techniques is not in-depth enough to efficiently estimate the increasingly complicated market risks.This study analyzed summary statistics for the soybean futures market price return, measured its price risk with the VaR method based on GARCH model,and discussed the impacts of residual probability distributions assumptions of normal distribution, Student-t distribution and generalized error distribution on the accuracy of VaR estimation.The results showed that VaR based on GARCH model could better depict the distribution and volatility of soybean futures market return, and to some extent the accuracy of VaR could be improved considering residuals skewness.
Value at Risk GARCH Model Probability Distribution Soybean Futures Market Price Risk
LI Ganqiong XU Shiwei LI Zhemin WANG Shengwei YU Haipeng
Agriculture Information Institute, Chinese Academy of Agriculture Sciences Beijing 100081 Key Laboratory of Agri-information Service Technology, Ministry of Agriculture;Beijing 100081
国际会议
2013 World Agricultural Outlook Conference(2013世界农业展望大会)
北京
英文
150-160
2013-06-06（万方平台首次上网日期，不代表论文的发表时间）