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首页> 外文会议>Proceedings of ninth international forum - international trade and investment >The Empirical Analysis of the Risk of NYMEX Crude Oil Futures Market Based on the VAR-GARCH Model
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The Empirical Analysis of the Risk of NYMEX Crude Oil Futures Market Based on the VAR-GARCH Model

机译：基于VAR-GARCH模型的NYMEX原油期货市场风险实证分析

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摘要

The NYMEX crude oil futures market is an oil trading platform which has the largest liquidity, its market price following the trend of world oil prices. In recent years, the frequent crude oil crisis has brought great harm to the stability of the world economic. The quantitative analysis method of the risk of crude oil futures market has always focused on independent symmetry of normal distribution hypothesis of the VAR method, but the accuracy is not very ideal, while the VAR-GARCH model to estimate the results is more accurate than traditional VAR results. This paper tries to use the VAR-GARCH model to estimate the variance of crude oil futures prices yield, improve traditionally-poor VAR estimates and, through empirical analysis, estimate oil futures market risk.
机译：NYMEX原油期货市场是流动性最大的石油交易平台，其市场价格紧随世界石油价格趋势。近年来，频繁发生的原油危机给世界经济的稳定带来了极大的伤害。原油期货市场风险的定量分析方法始终侧重于VAR方法的正态分布假设的独立对称性，但准确性不是很理想，而VAR-GARCH模型来估计结果比传统方法更准确VAR结果。本文尝试使用VAR-GARCH模型来估计原油期货价格收益的方差，改进传统上较差的VAR估计，并通过经验分析来估计石油期货市场风险。

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