| Because of the rapid growth and high openness of futures markets of soybean sinceChina’s entry to the WTO, the soybeans price consequently becomes more and morefluctuated. Although domestic soybean crushers hedge operations in the futures market, butnot to consider the extreme volatility situation, so they also suffer huge losses when thesoybean futures prices change extremely. Therefore, it is very important theoretical andpractical significance to Soybean crushing enterprise risk management, which is to analysefactors of extreme risk fluctuations, to analyse the degree of volatility of soybean futuresprices, to analyse the time of affecting and to analyse the trend of the soybean futures prices.At first, it builds a module using TGARCH, based on the identity of China&Americansoybeans and the discontinuity and continuity of their transactions, hoping to forecast thevariation in Domestic soybeans forward price, compared to Americans soybeans markets. Andwe also would like to find out the extreme-risk volatility of rate of return in Soybean forwardprice during the next cycle. Meanwhile, we compare the good news with the bad news whichinfluences the degree of fluctuation on rate of return of domestic soybean forward price, basedon threshold coefficients method. In another hand, in order to make up for the defect ofTGARCH, we adopt scenario analysis method. The scenario analysis method concludes theusage of historical simulation and Monte Carlo method. We would like to reappear thescenario of extreme volatility, the combination of soybeans supply and USD trend, moneysupply and extreme cases etc, which could influence the direction and degree of soybeanforward price.We can analyze the extreme risk of fluctuations of the soybean futures prices and putforward suggestions of the extreme risk of the management of soybean futures prices. Theabove good points of combining these two methods are enhancing our understanding andmanaging the risk volatility of soybean forward price. |
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