基于VaR-GARCH模型族的我国豆粕期货市场风险分析  

Market Risk Analysis of Soybean Meal Futures in China Based on VaR-GARCH Models

作　　者：孙景云[1] 李永军[1] 田丽娜[1] 

机构地区：[1]兰州城市学院数学学院,甘肃兰州730070

出　　处：《甘肃科学学报》2013年第3期142-145,共4页Journal of Gansu Sciences

基　　金：甘肃省城市发展研究院资助项目(2011-GACFY-KJ04)

摘　　要：对大连期货市场豆粕期货每个交易日价格的波动进行分析,利用VaR风险值方法和GARCH模型族,建立了基于VaR-GARCH模型族的豆粕期货市场风险评估模型.通过实证分析,发现豆粕期货的收益率具有尖峰厚尾聚集波动的特性,并在收益率为3种不同分布的假设下,比较相应的VaR估计值,最后得出当收益分布为广义误差分布时,用VaR-EGARCH模型能更好的刻画豆粕期货的市场风险.The daily price volatility of soybean meal futures in Dalian market are analysed by using the method of VaR and GARCH models.A market risk evaluation model of soybean meal futures based on VaR-GARCH models is established.The empirical results show that the return of soybean meal furtures has the character of high peaks,fat tails and volatility clustering;when the return is in the one of three different distributions respectively,the corresponding VaR is estimated,and our findings indicate that the VaR-EGARCH model based on the general error distribution（GED）can more accurately describe the market risk of soybean meal futures.

关 键 词：豆粕期货 风险价值 VaR-GARCH模型族 广义误差分布 

分 类 号：F830.9[经济管理—金融学]