Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model

Chuan-hui Wang, Li-ping Wang, Wei-feng Gong, Hai-xia Zhang, Xia Liu and Shahzad Sarfraz

Complexity, 2021, vol. 2021, 1-12

Abstract: 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.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/complexity/2021/8912024.pdf (application/pdf)
http://downloads.hindawi.com/journals/complexity/2021/8912024.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:8912024

DOI: 10.1155/2021/8912024

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().