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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.

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