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Date of Publication:2006-01-01

Journal:大连理工大学学报

Affiliation of Author(s):经济管理学院

Issue:1

Page Number:127-134

ISSN No.:1000-8608

Abstract:Every trading day fluctuation is used to reflect futures contract market risk in virtue of value at risk method, and adopting generalized autoregressive conditional heteroskedasticity (GARCH) model, the single futures contract market risk evaluation VaR-GARCH model is set up in order to solve the problem of the single futures contract of every trading day's maximum loss. The characteristics lie in three aspects. Firstly, the model reflects the clustering effect, fat tail effect and time-varying variance effect sufficiently by GARCH model forecasting variance, and this makes the evaluation and forecasting more precisely. Secondly, whether the single futures contract VaR is reasonable is considered. ��2 test is used to get more reasonable and precise confidence interval evaluation VaR. Thirdly, the model is applied to confirming the level of receiving futures margin, which helps the Commodity Exchange establish the foundation of taking more reasonable level of receiving futures margin.

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