The Empirical Research On The Risk About Price Volatility Of Copper

Under the situation of economic globalization, China’s copper futures market has been fully liberalized.Copper has become an important means of production and strategic material in national and social economic development.However,in recent years,the international economic situation tends to be unstable, which leading to sharp fluctuation in copper price. Futures market has become the primary means for copper traders to avoid the risk of price fluctuation in the spot market.This paper adopts the combination of qualitative and quantitative methods to study the risk of price fluctuation of copper. This paper mainly pickes 1492 datas from January 4, 2006 to April 6, 2012 for empirical analysis. Firstly, the descriptive statistical analysis, fluctuation analysis, unit root test and ARCH effect test of copper price return series are made, which turns out the basic characteristics:the strong volatility clustering and fat tail.Secondly.This paper discusses the copper price fluctuation from two aspects of the futures market. Then, this paper measures the risk of copper price volatility with basic calculation methods of VaR and GARCH(1,1) model,then using the Kupiec method to calculate the return value of VaR, which turns out: both in 95% and 99% confidence levels,the Variance Covariance model, History Simulation model and GARCH model pass the Kupiec test and measure the copper price risk status well,which considered are ideal models.As for the Monte Carlo Simulation model,it underestimates the risk inboth confidence levels.Finally,this paper proposes the idea that hedging is one of the most powerful means to deal with the price volatility risk of copper. From the side of the enterprises,it analysises three aspects: the basic ideas of hedging,some problems paid attention to hedging and the trading strategies of hedging.