A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR ()
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.
Share and Cite:
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.
Conflicts of Interest
The authors declare no conflicts of interest.
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