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

被引：6
|
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
收藏
页数：11
相关论文
共 50 条
  • [1] Price discovery efficiency of China's crude oil futures: Evidence from the Shanghai crude oil futures market
    Shao, Mingao
    Hua, Yongjun
    ENERGY ECONOMICS, 2022, 112
  • [2] A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures
    Wang, Hongxia
    Qiu, Shushu
    Yick, Ho Yin
    Dai, Yuhu
    FRONTIERS IN ENVIRONMENTAL SCIENCE, 2022, 10
  • [3] Financial market development and corporate risk management: Evidence from Shanghai crude oil futures launched in China
    He, Feng
    Chen, Longxuan
    Hao, Jing
    Wu, Ji
    ENERGY ECONOMICS, 2024, 129
  • [4] The Catastrophe Analysis of Shanghai Crude Oil Futures Price from the Perspective of Volatility Factors
    Gong, Weifeng
    Li, Yahui
    Wang, Chuanhui
    Zhang, Haixia
    Zhai, Zhengjie
    COMPLEXITY, 2022, 2022
  • [5] The Catastrophe Analysis of Shanghai Crude Oil Futures Price from the Perspective of Volatility Factors
    Gong, Weifeng
    Li, Yahui
    Wang, Chuanhui
    Zhang, Haixia
    Zhai, Zhengjie
    COMPLEXITY, 2022, 2022
  • [6] The Catastrophe Analysis of Shanghai Crude Oil Futures Price from the Perspective of Volatility Factors
    Gong, Weifeng
    Li, Yahui
    Wang, Chuanhui
    Zhang, Haixia
    Zhai, Zhengjie
    Complexity, 2022, 2022
  • [7] TIME-VARYING MARKET PRICE OF RISK IN THE CRUDE OIL FUTURES MARKET
    Bhar, Ramaprasad
    Lee, Damien
    JOURNAL OF FUTURES MARKETS, 2011, 31 (08) : 779 - 807
  • [8] The Empirical Analysis of the Risk of NYMEX Crude Oil Futures Market Based on the VAR-GARCH Model
    Ouyang Lingyu
    Du Jia
    PROCEEDINGS OF THE NINTH INTERNATIONAL FORUM - INTERNATIONAL TRADE AND INVESTMENT, 2012, : 289 - 295
  • [9] Forecasting crude oil market volatility: Further evidence using GARCH-class models
    Wei, Yu
    Wang, Yudong
    Huang, Dengshi
    ENERGY ECONOMICS, 2010, 32 (06) : 1477 - 1484
  • [10] Macroeconomic Uncertainty and Crude Oil Futures Volatility-Evidence from China Crude Oil Futures Market
    Yi, Adan
    Yang, Menglong
    Li, Yongshan
    FRONTIERS IN ENVIRONMENTAL SCIENCE, 2021, 9
12345