TITLE:
A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR
AUTHORS:
Hu’e Zhao
KEYWORDS:
Copper Futures, VaR-CARCH, Market Risk
JOURNAL NAME:
Open Journal of Social Sciences,
Vol.2 No.9,
August
26,
2014
ABSTRACT:
Measuring the risk of the
Chinese Copper futures market is the key point of the risk management. Based on
the normal distribution, T-distribution and GED-distribution, this paper
measures the VaR values of the risk of the copper futures by GARCH and EGARCH
models. Using empirical testing, it shows the EGARCH-N model can characterize
the market risk of the copper futures more precisely than other types of
models.