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