我国期货价格风险管理研究——基于VaR方法与GARCH-t模型的视角

Risk Management of China's Futures Prices:Perspectives Based on VaR Method and GARCH-t Model

本文利用我国商品期货及金融期货2010年9月份合约数据采用VaR方法对其收益率序列的波动性进行了检验。研究结果发现:首先,应用GARCH-t模型的方法对期货商品的价格风险进行管理具有显著的有效性和适用性,特别是在95%的置信水平下对收益率波动性的拟合效果最佳,同时该方法对期货商品正收益率的拟合效果比负收益率更好。其次,我国股指期货正式推出后,收益率波动性较模拟交易时期显著变小,表明改进后的交易制度及政府监管等措施可能限制了市场上的过度投机行为。最后,农副产品期货的风险暴露程度比股指、金属和能源化工等期货品种要小。

This paper tests the volatilities of return of commodity futures and financial futures contracts that expired on September in 2010 in China. We find that, Firstly, the VaR method and GARCH-t model works well for managing the price risk of futures especially with the confidence levels of 95%. It seems that the method does better when it describes the characterization of the positive returns than the negative ones. Secondly, After the stock index futures was listed, the volatility of that becomes weaker obviously than that of the simulated trading periods. It suggests that the improved trading system and government regulations restrict the excessive speculation on the market. Lastly, the risk exposure in agriculture futures is smaller than that of stock index and other futures.