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Articles
  • OpenAccess
  • A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR  [MASS 2014]
  • DOI: 10.4236/jss.2014.29007   PP.40 - 47
  • Author(s)
  • Hu’e Zhao
  • 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.

  • KEYWORDS
  • Copper Futures, VaR-CARCH, Market Risk
  • References
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