• A research on the risk measure of Chinese copper futures market based on VaR   [MASS 2014]
  • Author(s)
  • Hu’e Zhao
  • 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.
  • risk measure, Chinese copper futures market, VaR
  • References

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