China's Rubber Futures Risk Measure Empirical Research

The risk of futures trade is very large, if you succeed, you can obtain the huge benefit, even parvenu appear during one night; but if you can't control very well, you possibly gain nothing. How to control the risk of futures always be concerned by financial circles .The rubber shows very actively in Chinese futures market in recent years, moreover, its trade history is long enough. So this thesis takes rubber futures of SHFE as an example, and carries on a real diagnosis analysis.First part of thesis is researching background. It mainly introduces the subject and significance of this thesis, and elaborates the author's studying thought and method. The second part is document summarizes. Firstly, this chapter introduces the concept of financial risk and the stock risk, and summarizes the characteristic of futures market risk in China. Afterwards it sums up the theory about risk controlling in domestic and foreign markets; finally it carries on the review summary to the domestic and foreign real diagnoses analysis method. The third part use ECM model to analysis .Author find that there is strong connection between forward price and cash price, so author get a conclusion that cointegration exists between cash price and futures price. The fourth part, ARCH-LM and GARCH models are used to examine the price undulation and influence, simultaneously comparing with the Tokyo rubber futures market, in order to discover the undulation similarity and difference between Chinese rubber futures price and the Tokyo futures price, and provide the demonstration basis for the supervising organizations. The Fifth part is conclusion, suggestion and summary. Considering the recent situation and the existing question, to control risk of Chinese futures market, and enhance the level of understanding and management to our futures market, to safe guard futures market continue developing stably.The innovations of this thesis lie in: attempting for the first time to use GARCH model to do the magnanimity to rubber futures market fluctuations. In addition, the thesis uses continuous contract concept to analysis fluctuation effect of Chinese futures contract, which overcome the discontinuous shortcoming of forward price, and demonstrates the characteristic of income in long-term. At present, domestic copper of SHEF , soybean of DCE have been researched much, but the rubber hasn't, so studying the relationship between Chinese rubber forward price and cash price , and risk magnanimity of rubber futures market has certain practical or immediate significance.The deficiency of the thesis: Firstly, since the individual ability is limited, this thesis uses a simple two-dimensional opposite angle GARCH model, which has certain constraint conditions, restricts it to be applied in broader field. Secondly, because of limited time and space, the fluctuation of cash and futures price of rubber and a lot of problems such as undulate conduction effect have not been related, thus waiting for being studied later. Thirdly, in order to reflect the fluctuate characteristic of Chinese and the Tokyo rubber futures market, the GARCH model used the changed data which was changed with the nearest underlying asset, but the effective number only is 203. Although it belongs to a big sample in the statistical significance, comparing with internationally time series analysis which use more than 2,000 samples, its accuracy is not enough.