Research On Volatility And Risk Management In Petroleum Futures Market

To deal with the violent volatility of intenational oil price and be merged into intenational pricing system, fuel oil futures were promoted in Shanghai Futures Exchange, August, 2004. However, the theoretical and empirical researches on our fuel oil futures market were deficient. To improve and develop our petroleum futures market, it is indispensable to know and master the actuality of development and the intrinsic characteristics in fuel oil futures market. Concerning this question, volatility and risk management were studied in this thesis.Firstly, the characteristic volatility in China fuel oil futures market was studied empirically, basic features in different periods were analyzed and the variation trend in our fuel oil futures was summarized. Secondly, the relations among volume, open interest and volatility were studied by dynamic econometrics models and GARCH models with market behaviors, through which, the inherent relations between market behaviors and volatility were discovered, the microstructure, mechanism of price formation and information transfer mode were revealed. Then, the dynamic relations home and aboard in price, return, price volatility and market overall volatility were studied, the position of our fuel oil futures market in the world and the distance between our fuel oil futures market and world's developed markets were analyzed.As there were huge risks in our fuel oil futures market, a dynamic VaR-GARCHs evaluation model based on value at risk was given, through which the risks of our fuel oil futures market were evaluated. Considering the actual characteristics of risk in our fuel oil futures market, a new rate setting model of trade margin was constructed with VaR. Based on rough set theory, a risk identification model was constructed and the problem of risk identification was studied empirically. In the end, the problem of risk management in our fuel oil futures market was discussed; several solutions and suggestions were brought forward in a well-targeted manner based on results obtained in this thesis.In conclusion, the volatility and risk management were systematically studied through academic and empirical methods in our fuel oil futures market. There will be positive theoretic worth and practical significance for supervisory departments and market participants.