Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market

被引：7

作者：

Bei, Shuhua ^{[1
]}

Yang, Aijun ^{[1
]}

Pei, Haotian ^{[1
]}

Si, Xiaoli ^{[1
]}

机构：

[1] Nanjing Forestry Univ, Coll Econ & Management, Nanjing 210037, Peoples R China

来源：

ECONOMIC MODELLING | 2023年 / 125卷

关键词：

Price risk management; Shanghai crude oil futures market; GARCH family Models; VaR prediction; MCS approach; VALUE-AT-RISK; FORECASTING VOLATILITY; DISTRIBUTIONS; REGRESSION; VARIANCE; LONG;

D O I：

10.1016/j.econmod.2023.106367

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In recent years, influenced by political and economic events, the price of the Shanghai crude oil futures market has changed significantly. It is therefore of great academic and practical importance to accurately measure the price risk of the Shanghai crude oil futures market. This paper uses a variety of GARCH models to predict price risk and uses the Model Confidence Set approach to evaluate forecasting performance. The daily closing prices of the Shanghai crude oil futures market from March 2018 to February 2021 are used. The empirical results show that futures price responds more strongly to negative news shocks than to positive news shocks, and the EGARCH model can effectively improve the accuracy of price risk measurement. An accurate assessment of the price risk can help investors to arrange funds in advance or to rebalance trading positions in order to meet the margin requirements.

引用

页数：11

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