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Title: |
VaR Analysis of Oil Price Fluctuation in China Based on Value at Risk Method and GARCH Model |
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Source: |
International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment)
(pp 2758-2761)
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Author(s): |
Yanhong Li, Department of Economic Management, North China Electric Power University, Baoding, Hebei, China |
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Abstract: |
This paper focuses on energy market risk based on the methodology of management of financial risk. We use VaR method and GARCH model to study the oil prices fluctuation and conclude that if we take confidences as 90%, 95%, 99% and VaR values indicate that our county's energy market has high risk; and it does not exist obvious ARCH effect; and In GARCH model, the GARCH coefficient we calculate means the oil price has long-term memory.
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