A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR

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DOI: 10.4236/jss.2014.29007    3,333 Downloads   3,995 Views  
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ABSTRACT

Measuring the risk of the Chinese Copper futures market is the key point of the risk management. Based on the normal distribution, T-distribution and GED-distribution, this paper measures the VaR values of the risk of the copper futures by GARCH and EGARCH models. Using empirical testing, it shows the EGARCH-N model can characterize the market risk of the copper futures more precisely than other types of models.

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Zhao, H. (2014) A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR. Open Journal of Social Sciences, 2, 40-47. doi: 10.4236/jss.2014.29007.

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