基于GJR-GED的农产品期货市场风险测度研究

A Study of the Risk Measurement of Agricultural Products' Futures Market Based on GJR-GED

本文以豆粕与郑州棉花商品期货为研究对象,并以其交易指数代表农产品期货市场,运用基于GED的GJR对期货市场动态风险价值(VaR)进行了测度,进而运用后验测试方法对风险测度模型的准确性进行了检验。实证研究的结果表明,农产品期货市场指数收益与其他金融市场一样,存在着明显的尖峰胖尾分布特征;指数的条件波动率也展示出明显的杠杆效应;基于GJR与GED的风险测度模型能够准确测度期货市场的动态风险。

This research focuses on the bean and Zhengzhou cotton as the commodity futures,and uses their trading index as the agricultural products' futures market.It uses the GJR based on the GDE to measure the futures market's dynamic Value at Risk(VaR),and then the post-test to check the accuracy of the VaR measurement.The result of this empirical research shows that this market's index return is the same as other financial markets,having the obvious feature of aiguille and fat-tail while its conditional volatility shows clear leverage effects.It concludes that this model can help measure the futures market's dynamic VaR accurately.