摘要
运用Va R理论,分别基于4种价格预测模型对2008—2015年国际棉花现货价格风险进行了度量和分析。研究发现,国际棉花现货价格风险呈现明显的阶段性,Va R具有良好的预测功能并呈现一定的集簇性,Va R与期初国际棉花现货价格之比和Va R变化趋势相同但又不一致。相对来说,基于ADL-GARCH模型的Va R比较准确。为有关部门识别国际棉花价格风险、选择度量模型提供了依据。
Using Value at Risk（Va R） theory, this paper respectively based on four kinds of price forecasting model measured and analyzed the risk of the international cotton spot price in 2008-2015. It was found that the obvious phase appeared in the international cotton spot price risk, Va R had good predictive function and presented certain clustering property, and the change tendency of Va R was the same as that of the ratio of Va R and international cotton spot price at the beginning of the period, but was also inconsistent. By comparison, the Va R under ADL-GARCH model was more accurate. This paper provided a basis for the relevant departments to identify the international cotton price risk and to select the measure model.
出处
《农业展望》
2016年第8期28-33,共6页
Agricultural Outlook
