期货投资的VaR模型及实证分析——以上海期铜15年历史数据为例

VaR Models for Futures Investment:An Empirical Analysis Based on Last 15-year's Historical Data of Copper Futures in Shanghai Futures Exchange

VaR模型作为测量金融风险度的标尺,可用以期货投资的风险测度。根据上海期铜过去15年的历史数据,分别运用静态VaR模型、GARCH(1,1)模型和EVT模型来测量其VaR水平,并在此基础上对这些模型的测量结果进行检验和比较,结果表明:静态VaR模型并不能有效地测度风险,而GARCH(1,1)模型和EVT模型的结合则可以较好地控制风险。

As a gauge of financial risks, the VaR model can be used to measure the investment risks in the futures market. According to the data from Shanghai copper futures in the last fifteen years, we analyzed the VaR level of the market through employing the static VaR model, the GARCH （ 1,1 ） model, and the EVT model successively. The back testing and comparison of the respective results obtained by the above analyses indicate that the static VaR model does not work effectively to measure the risks, but the combination of GARCH（ 1,1 ） and EVT models is the better solution to the risk management.