Research On Futures Risk Measurement Based On ARMAX-GARCH Family Model

In recent years,with the rapid economic development of Asia Pacific region led by China,the consumption and demand for crude oil are increasing day by day.Crude oil products are not only the market vane of bulk commodities in major countries in the world,but also the core blood of industrial development.The price of crude oil is closely related to the macro-economic situation,the politics of big countries,market conditions and policy guidelines.For the financial industry,China's crude oil futures provides a new way for the oil related enterprises to invest and hedge.How to make good use of the crude oil futures tools has become a concern of investors.However,under the current international crude oil system,China still lacks its own crude oil pricing benchmark.In this context,on March 26,2018,China crude oil futures was officially listed and traded in Shanghai International Energy Trading Center(INE),a subsidiary of Shanghai Futures Exchange.In some extent,this launch will reverse this adverse situation and boost the internationalization of futures market.Shanghai ine crude oil futures rapidly opened the crude oil futures trading market,with the help of differentiated competition of trading varieties and RMB settlement,which provides favorable tools for the operating participants of China's crude oil industry to actively participate in the crude oil market,hedge trading risks,and realize physical inventory value.In order to make our crude oil futures market run smoothly,we must measure its risk accurately.This paper aims to introduce the contract of Shanghai INE crude oil futures and measure its risk through the model.The GARCH family model is of great significance in describing the volatility and risk measurement of financial asset series.The return rate of Shanghai crude oil futures market is selected as the research object.Under different distribution assumptions,GARCH,TGARCH,EGARCH and FIGARCH models are used to analyze the effect of volatility characterization,risk measurement and prediction effect.It can be found that the volatility of return rate is biased,asymmetric and leverage effect is obvious.Both "good news" and "bad news" will have a positive impact on the yield.Bad news of the same size in the market will cause more volatility than good news.Each model chooses the distribution with the highest fitting degree to simulate the volatility for the following risk models.Then select the VAR model to evaluate the risk of oil futures and calculate the VaR value of the yield,combining with the two-way trading of futures to calculate the VaR value.Due to the two-way trading way,this paper distinguishes long futures and short futures in the calculation of VaR respectively.The VaR value of long and short crude oil futures can be calculated by introducing the variance series of GARCH model family into the VaR formula.Then through back testing,the risk measurement results of long and short are studied,and kpueic likelihood test method is used to test the calculated The accuracy of VaR value is tested,and the two models of long and short crude oil futures selected by empirical results are tested,but the risk performance of long and short crude oil futures is different,the volatility of yield presents asymmetry,and there is leverage effect,the overall performance of VAR-EGARCH-Normal is the best the performance of VAR-GARCH-Normal is the worst,and the performance of VARTGARCH-Normal and VAR-FIGARCH-GED is the same.Nearly all in the acceptable range.At last,the paper puts forward some constructive suggestions on the policy.