Proceedings of the 2020 2nd International Conference on Economic Management and Cultural Industry (ICEMCI 2020)

Studies on VaR Estimation of China’s Agricultural Product Futures Market Based on GARCH Models

Authors
Peizhe Li, Yue Wang
Corresponding Author
Yue Wang
Available Online 30 November 2020.
DOI
https://doi.org/10.2991/aebmr.k.201128.081How to use a DOI?
Keywords
Agricultural futures, GARCH models, VaR, Risk measurement
Abstract

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.

Copyright
© 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/).

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Volume Title
Proceedings of the 2020 2nd International Conference on Economic Management and Cultural Industry (ICEMCI 2020)
Series
Advances in Economics, Business and Management Research
Publication Date
30 November 2020
ISBN
978-94-6239-283-0
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.201128.081How to use a DOI?
Copyright
© 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  - https://doi.org/10.2991/aebmr.k.201128.081
ID  - Li2020
ER  -