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

中国管理科学 ›› 2021, Vol. 29 ›› Issue (11): 1-12.doi: 10.16381/j.cnki.issn1003-207x.2020.0763

• 论文 • 下一篇

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

蔡光辉, 项琳

浙江工商大学统计与数学学院，浙江杭州310018

收稿日期:2020-04-27 修回日期:2020-08-11 出版日期:2021-11-20 发布日期:2021-11-22
通讯作者: 项琳(1994-)，女(汉族)，浙江衢州人，浙江工商大学统计与数学学院，博士研究生，研究方向：金融风险管理，Email：xlin430@foxmail.com. E-mail:xlin430@foxmail.com
基金资助:
国家社会科学基金资助项目(19BTJ013)；浙江省一流学科A类(浙江工商大学统计学)资助项目(1020JYN4120004G-092)

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

CAI Guang-hui, XIANG Lin

School of statistics and mathematics, Zhejiang Gongshang University, Hangzhou 310018, China

Received:2020-04-27 Revised:2020-08-11 Online:2021-11-20 Published:2021-11-22
Contact: 项琳 E-mail:xlin430@foxmail.com

摘要/Abstract

摘要： 为探究中国铜期货市场价格波动的变化规律并以此预测其风险值，以沪铜期货高频价格数据为样本，综合考虑其收益率波动的聚集性、偏峰厚尾性与长记忆性，将广义已实现测度引入偏t分布假设下的Realized GARCH模型与拓展的Realized HAR GARCH模型中，并通过样本内拟合与样本外滚动预测，结合似然函数、VaR后验测试与损失函数MCS检验法综合比较了采用不同已实现测度的Realized GARCH以及Realized HAR GARCH模型在沪铜期货收益波动率估计和VaR预测上的效果。实证结果显示：对于沪铜期货市场而言，无论是波动率估计还是风险预测，广义已实现测度的引入显著地提升了Realized GARCH与Realized HAR GARCH模型的拟合效果与预测能力，其中基于日内损失RMAD与RES测度下的Realized HAR GARCH模型分别拥有最优的估计与预测表现。

关键词: 铜期货市场；Realized HAR GARCH；波动率；已实现测度；VaR

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

中图分类号:

F830

蔡光辉, 项琳. 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[J]. 中国管理科学, 2021, 29(11): 1-12.

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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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

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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