我国大宗商品期货价格风险的CAViaR测度与防范 - Atlantis Press.PDF

Advances in Economics, Business and Management Research, volume 30 International Conference on Engineering Management (Iconf-EM 2016) Measure and Manage the Dynamic risk of Commodity Futures Market Based on CAViaR FU Zeng-yu1,a,*, WEN Hu-wei2,b 1Beijing Jiao Tong University, Haidian, Beijing, China 2 Huazhong University of Science Technology, Wuhan, Hubei, China a498812316@, b564124958@ Keywords: Commodity Futures; CAViaR model; the family of GARCH model; Backtest. Abstract. Under the background of OBOR strategic, commodities futures market of China meet new opportunity. It benefits the internationalization of Chinas futures market and enhances the commodity pricing power that we can management the market risk. By taking the typical industrial and agricultural commodities futures of the Dalian Commodity Exchange in consider, this paper adopts CAViaR model to measure the dynamic risk. Then three likelihood ratio tests and one dynamic quantile test are used to compare the predictive performance and applicability in different quantiles of different models. The empirical results show that the CAViaR model is superior to the traditional GARCH model. Yields of commodity futures presented typical fat tail and autocorrelation. The GARCH models, which ignore the fat tail and autocorrelation, may be inefficient to measure risk of commodity futures Market. The CAViaR model may be the most suitable risk management tools for commodity futures risk management. 我国大宗商品期货价格风险的CAViaR测度与防范 1,a,* 2,b 符增昱 , 温煳炜