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我国期货市场在90年代建立起来,经历了由建立整顿到稳固发展的过程,日益成熟。但对期货市场的运行效率等情况缺乏深入的了解和全面的把握。本文针对中国商品期货市场价格风险问题基于上期所期货铜展开研究。首先,应用计算不同模型的Va R风险值,再根据有效性检验比较得出检验表现最好的模型。
The futures market in China was established in the 1990s and has experienced a maturing process from establishment of rectification to steady development. However, there is a lack of in-depth understanding and comprehensive grasp of the operational efficiency of the futures market. This article aims at the price risk of commodity futures market in China based on the previous study of futures copper. First of all, the VaR risk value of different models is calculated, and then the best test model is obtained according to the validity test.