摘要
原油期货市场极端风险研究已成为近年来金融风险研究的一大热点,VaR和CVaR均是刻画尾部极端风险的度量指标。本文选取2014年1月1日至2020年5月31日的原油期货WTI日度收盘数据,将ARMA-EGARCH模型与极值理论结合,建立起可以描述后尾分布的ARMA-EGARCH-POT模型,对原油期货进行风险度量,分别计算出其相应的VaR和CVaR值,并进行分析与比较,其有效性通过了后验测试。研究表明:ARMA-EGARCH-POT模型能够有效捕捉原油期货价格极端风险,特别是能够捕捉分布的尾部特征,且置信度越高,模型计算出的风险值越精确。本文为企业和个人增加对原油期货市场的认识,规避市场极端风险提供了重要参考。
Research on extreme risks in the crude oil futures has become a hot topic in financial risk research in recent years.Both VaR and CVaR are metrics that characterize extreme risks in the tail.This article selects daily closing price of WTI crude oil futures from January 1,2014 to May 31,2020,and combines the ARMA-EGARCH model with extreme value theory to establish an ARMA-EGARCH-POT model that can describe the tail distribution.Measure the VaR and CVaR of crude oil futures,analyze and compare them.The result has passed the back testing.The research shows that the ARMA-EGARCH-POT model can effectively capture the extreme risks of crude oil futures prices,especially the tail characteristics of the distribution,and the higher the confidence level,the more accurate the risk value calculated by the model.The research of this article provides an important reference for companies and individuals to increase their understanding of the crude oil futures market and avoid extreme market risks.
出处
《价格理论与实践》
北大核心
2020年第8期112-115,共4页
Price:Theory & Practice
基金
国家教育部人文社会科学研究项目(20YJA790097)
国家自然科学基金项目(71773058)。
