Estimating The Periodic Tail Risk Of Crude Oil Market And Its Spillover Effects

Due to the strategic position of crude oil and sharp fluctuation of crude oil price, the risk management of oil market has become more and more important. The latest financial crisis has imposed some influence on the tail risk and risk transmission mechanism among international oil markets.As a start, the paper studies the volatility of crude oil and its pricing system. And then from the perspective of quantitative measurement, the paper estimates the tail risk of four main crude oil markets, namely WTI, Brent, Daqing and Shengli, using rolling garch-var model and historical simulation model respectively. By comparing the tail risk of different markets in different periods, the empirical results show the dynamic characteristics of crude oil price risk.After that, the paper conducts risk-Granger test to investigate the risk spillover effects between different markets in different periods and shows the risk spillover relationships also change with time.Finally, based on the empirical results, the paper offers some suggestions for the risk management of China’s oil market.