The Evaluation Model Based On Multivariate Garch Model Of International Metal Futures Market Investment Risk

With the great development of our economy, the metal mineral resource's demand increases fast. It is a inevitable choice to use the overseas resources, in order to alleviate the shortage. Between the different markets, assets and factors, there often exists the volatility correlation, and more clearly with the rapid economic development. VaR is the mainstream methods in the financial markets first proposed by the Corporation of JP MORGAN. For overseas enterprises to explorate and develop metallic mineral resources, the market risk analysis forecast work was to enhances its risk safeguards.In the international market, the general dollar-denominated metals futures, futures market's price is a direct response to spot market prices, exchange rate fluctuations will lead to price fluctuations. The international different country's spread change, will possibly affect investor's investment strategy choice. This article chooses DCC-(BV) GARCH model to study the effect of the international exchange rates, interest rates on metals futures market price changes. In this research's foundation, we select the suitable risk factor and establish three variable GARCH-VaR models, to predict the comprehensive risk.The results of this study show that:Between the metal futures market and the foreign exchange market, there does not have the obvious volatility spillover effect, but positive dynamic correlation. It has been markedly strengthened during the financial crisis in 2008-2009; But not clear with the spread rate of change. This means that for investors, so the risk in the currency market does not adequately reflect it in metal futures markets; Foreign exchange market's fluctuation has certain influence to the metal futures market's price, and can be used as a reference. Through selects the LME copper, the LME aluminum, US dollar index, we have established three variable BEKK-VaR model as well as DCC-VaR model to assess the integrated risks, under the method of equal weights portfolio and dynamic minimum variance portfolio weights. The empirical results show that both models are suitable for the international metals futures markets to predict overall risk, but the minimum variance portfolio weights under the dynamic prediction is better.Hoped that through this study, may provides a new mentality and method for our enterprise overseas investment in mineral resources.