PTA期货风险度量——基于GARCH-VaR模型  

Risk measurement of PTA futures——Based on GARCH-VaR model

作　　者：闫石 Yan Shi(Hebei Finance University,Baoding,Hebei,071000)

机构地区：[1]河北金融学院,河北保定071000

出　　处：《市场周刊》2024年第25期132-134,共3页Market Weekly

摘　　要：随着全球金融市场的不断扩张,各类金融市场的风险度量和管理越来越受到投资者和研究人员的重视。文章采用VaR方法来度量PTA期货市场中的风险,利用Eviews软件建立GARCH-VaR模型来进行风险度量,并分析其效果。文章以郑商所的PTA期货为研究对象,选取了两年内的期货价格信息作为研究样本,通过计算收益率序列并进行一系列检验,建立模型并计算VaR,最终得出结论。With the continuous expansion of the global financial market,the risk measurement and management of various financial markets have been paid more and more attention by investors and researchers.This paper uses VaR method to measure the risk in PTA fu tures market.Using Eviews software,GARCH-VaR model is established,risk measurement is carried out by this model,and its effect is an alyzed.This paper takes PTA futures of Zhengzhou Commodity Exchange as the research object,selects futures price information within two years as the research sample,calculates the yield series and conducts a series of tests,establishes the model and calculates VaR,and finally draws a conclusion.

关 键 词：PTA期货 风险度量 GARCH-VAR模型 

分 类 号：F830.9[经济管理—金融学]