中国铜期货市场波动率估计与风险度量——基于广义已实现测度的Realized HAR GARCH模型

doi:10.16381/j.cnki.issn1003-207x.2020.0763

Abstract

Abstract: As China's copper futures market continues to expand, accurate estimation of the volatility of copper futures prices is of particular interest to academics.In this paper, using the high-frequency data samples of copper futures in Shanghai Futures Exchange, the Realized GARCH model and the Realized HAR GARCH model involving different types of realized measures are established under the skew-t distribution to forecast the volatility of returns and the daily VaR.Besides using the conventional realized measures as our benchmarks, the generalized realized measures are introduced into the models. Then, through the in-sample fitting and out-of-sample rolling prediction, likelihood function, VaR posterior tests, and loss function MCS test are applied to compare the results of the models on volatility estimation and evaluate the forecasting effects of the VaR.

Key words: copper futures market; Realized HAR GARCH; volatility; realized measure; VaR

CLC Number:

F830

CAI Guang-hui, XIANG Lin. The Volatility Estimation and VaR Measurement of China’s Copper Future Market: Based on Realized HAR GARCH Model Incorporating Generalized Realized Measures[J]. Chinese Journal of Management Science, 2021, 29(11): 1-12.

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The Volatility Estimation and VaR Measurement of China’s Copper Future Market: Based on Realized HAR GARCH Model Incorporating Generalized Realized Measures

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