Measure and Manage the Dynamic risk of Commodity Futures Market Based on CAViaR

DOI

10.2991/iconfem-16.2016.7How to use a DOI?

Keywords

Commodity Futures; CAViaR model; the family of GARCH model; Backtest.

Abstract

Under the background of OBOR strategic, commodities futures market of China meet new opportunity. It benefits the internationalization of China's futures market and enhances the commodity pricing power that we can management the market risk. By taking the typical industrial and agricultural commodities futures of the Dalian Commodity Exchange in consider, this paper adopts CAViaR model to measure the dynamic risk. Then three likelihood ratio tests and one dynamic quantile test are used to compare the predictive performance and applicability in different quantiles of different models. The empirical results show that the CAViaR model is superior to the traditional GARCH model. Yields of commodity futures presented typical "fat tail" and autocorrelation. The GARCH models, which ignore the "fat tail" and autocorrelation, may be inefficient to measure risk of commodity futures Market. The CAViaR model may be the most suitable risk management tools for commodity futures risk management.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zeng-yu Fu
AU  - Hu-wei Wen
PY  - 2017/01
DA  - 2017/01
TI  - Measure and Manage the Dynamic risk of Commodity Futures Market Based on CAViaR
BT  - Proceedings of the 2016 International Conference on Engineering Management (Iconf-EM 2016)
PB  - Atlantis Press
SN  - 2352-5428
UR  - https://doi.org/10.2991/iconfem-16.2016.7
DO  - 10.2991/iconfem-16.2016.7
ID  - Fu2017/01
ER  -