Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model
As one of the main forces in the futures market, agricultural product futures occupy an important position in China’s market. As China’s futures market started late and its maturity was low, there are many risks. This study focuses on the Dalian soybean futures market. Dynamic risk measurement model...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/8912024 |
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| _version_ | 1832560656838033408 |
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| author | Chuan-hui Wang Li-ping Wang Wei-feng Gong Hai-xia Zhang Xia Liu |
| author_facet | Chuan-hui Wang Li-ping Wang Wei-feng Gong Hai-xia Zhang Xia Liu |
| author_sort | Chuan-hui Wang |
| collection | DOAJ |
| description | As one of the main forces in the futures market, agricultural product futures occupy an important position in China’s market. As China’s futures market started late and its maturity was low, there are many risks. This study focuses on the Dalian soybean futures market. Dynamic risk measurement models were established to empirically analyze risk measurement problems under different confidence levels. Then, the conditional variance calculated by the volatility model was introduced into the value-at-risk model, and the accuracy of the risk measurement was tested using the failure rate test model. The empirical results show that the risk values calculated by the established models at the 99% and 95% confidence levels are more valuable through the failure rate test, and the risk of China’s soybean futures market can be measured more accurately. The characteristics of “peak thick tail” and “leverage effect” are added to the combination model to calculate the conditional variance more accurately. The failure rate test method is used to test the model, which enriches the research problem of risk measurement. |
| format | Article |
| id | doaj-art-36ad436079ec4ce5904e017edfb17b2c |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-36ad436079ec4ce5904e017edfb17b2c2025-02-03T01:26:56ZengWileyComplexity1099-05262021-01-01202110.1155/2021/8912024Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH ModelChuan-hui Wang0Li-ping Wang1Wei-feng Gong2Hai-xia Zhang3Xia Liu4School of EconomicsSchool of EconomicsSchool of EconomicsSchool of EconomicsSchool of EconomicsAs one of the main forces in the futures market, agricultural product futures occupy an important position in China’s market. As China’s futures market started late and its maturity was low, there are many risks. This study focuses on the Dalian soybean futures market. Dynamic risk measurement models were established to empirically analyze risk measurement problems under different confidence levels. Then, the conditional variance calculated by the volatility model was introduced into the value-at-risk model, and the accuracy of the risk measurement was tested using the failure rate test model. The empirical results show that the risk values calculated by the established models at the 99% and 95% confidence levels are more valuable through the failure rate test, and the risk of China’s soybean futures market can be measured more accurately. The characteristics of “peak thick tail” and “leverage effect” are added to the combination model to calculate the conditional variance more accurately. The failure rate test method is used to test the model, which enriches the research problem of risk measurement.http://dx.doi.org/10.1155/2021/8912024 |
| spellingShingle | Chuan-hui Wang Li-ping Wang Wei-feng Gong Hai-xia Zhang Xia Liu Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model Complexity |
| title | Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model |
| title_full | Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model |
| title_fullStr | Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model |
| title_full_unstemmed | Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model |
| title_short | Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model |
| title_sort | price risk measurement of china s soybean futures market based on the var gjr garch model |
| url | http://dx.doi.org/10.1155/2021/8912024 |
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