基于GARCH-Copula-CoVaR模型的农业系统性风险研究

Research on Agricultural Systemic Risk Based on GARCH-Copula-CoVaR Model

选取农业指数日度收益率数据,构建GARCH-Copula-CoVaR模型来研究农业系统间风险溢出效应。研究结果表明,农业内部存在明显的关联性和风险溢出效应,风险溢出度最大值是最小值的2.5倍;畜禽养殖业是农业系统性风险中的重要性行业,承担风险溢出角色,渔业则承担风险接收角色。

The daily return rate data of agricultural index was selected to construct GARCH-Copula-CoVaR model to study the risk spillover effect between agricultural systems.Research results show that there are correlation and risk spillover effect in agriculture,and the risk spillover degree is different,the maximum risk spillover degree is 2.5 times the minimum value.Livestock and poultry breeding industry is an important industry in agricultural systemic risk,and plays the role of risk spillover.Fisheries plays the role of risk receiving.