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面对铜价的剧烈波动,有效度量铜现货风险对市场参与者而言至关重要。本文比较了受金融危机影响市场环境变化前后两个时期——震荡时期和下行时期,历史模拟法HS、正态分布ND、广义条件异方差GARCH、随机分布SV和极值分布EV五种模型对铜现货对数收益率日VaR和ES的估计效果。结果表明,投资者适宜运用GARCH模型预测铜现货市场风险波动剧烈时期的风险价值VaR,运用EV模型预测铜现货风险的尾部损失的均值。
In the face of drastic fluctuations in copper prices, the effective measurement of copper spot risk is crucial to market participants. This article compares five periods before and after the changes of the market environment, including the turbulent period and the descending period, historical simulation method HS, normal distribution ND, generalized conditional heteroscedasticity GARCH, stochastic distribution SV and extreme distribution EV Copper spot rate of return on the day VaR and ES estimated results. The result shows that investors can use the GARCH model to predict the VaR of the VaR in the copper spot market and the EV model to predict the mean of the tail loss of the copper spot risk.