Studies on VaR Estimation of China’s Agricultural Product Futures Market Based on GARCH Models
- 10.2991/aebmr.k.201128.081How to use a DOI?
- Agricultural futures, GARCH models, VaR, Risk measurement
Taking China Agricultural Products Futures Index (CAFI) as an example, this paper makes descriptive statistics and analysis on the logarithm yield of CAFI, discusses the calculation of VaR under the assumption that the residual is subject to the normal distribution, t-distribution, and generalized error distribution (GED), and tests the accuracy of VaR calculated by each model by Kupiec backtest. The results show that the yield of the CAFI index has the characteristics of “peak and fat tail”, volatility aggregation, and asymmetric effect. GARCH (1,1) model under the assumption of normal distribution and GED distribution can truly reflect and measure the risk of the agricultural futures market.
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Peizhe Li AU - Yue Wang PY - 2020 DA - 2020/11/30 TI - Studies on VaR Estimation of China’s Agricultural Product Futures Market Based on GARCH Models BT - Proceedings of the 2020 2nd International Conference on Economic Management and Cultural Industry (ICEMCI 2020) PB - Atlantis Press SP - 420 EP - 425 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.201128.081 DO - 10.2991/aebmr.k.201128.081 ID - Li2020 ER -