煤炭价格波动特征及市场风险研究

Price volatility characteristics and market riskof coal

煤炭价格的大幅波动给煤炭企业及相关产业带来了巨大的经营风险,本文应用GARCH类模型对煤炭价格的波动特征进行研究,研究发现:煤炭价格波动存在明显的聚集性和长期记忆性;煤炭市场存在"高风险、高收益"的特征和非对称效应——利好消息对煤炭价格波动的影响要大于不利消息的影响。其后,通过构建VaR-GARCH族模型对煤炭市场的风险价值进行测算,并与实际损失相比较,发现广义误差分布下的VaR-EGARCH(1,1)模型能够更好地描述煤炭市场的风险。

Thevolatility of coal price has brought great risk to coal enterprises and its downstream firms .Therefore ,based on GARCH models ,fluctuant features of coal is researched empirically ,and we find that the price of coal has long memory and clustering in volatility ,the coal market shows the characteristics of high‐risk and high‐return and the non‐symmetrical effect that favorable news have a larger impact on the market than bad news .Then ,the VaR of coal market is calculated by VaR‐GARCH models ,and by comparing with actual loss we find that VaR‐EGARCH（1 ,1） model based on GED‐distribution can describe the risk of coal market more effectively .