Research On The Risk Spillover Effect Of Shanghai Crude Oil Futures On Oil-related Futures Based On GARCH-EVT-Copula Mode

China is highly dependent on oil imports.In order to reduce the risk of oil price fluctuations and change the status quo of passively accepting the international oil price system,Shanghai.crude oil futures was born on March 26,2018.The outbreak of COVID-19 in 2020 has had a huge impact on the economies of all countries.In this paper,the risk spillover effect of Shanghai crude oil futures is studied based on the time-varying GARCH-EVT-Copula model against the background of the novel coronavirus outbreak.In this paper,crude oil futures,plastic futures,asphalt futures and fuel oil futures in Shanghai from January 3,2020 to August 17,2022 are studied.By constructing a time-varying GARCH-EVT-Copula model,the extreme risk situation of crude oil ftures market in the context of epidemic was analyzed.Because extreme risk is difficult to control and great harm,based on extreme value theory,this paper focuses on the extreme data of the upper and lower end of the distribution on the edge of the sequence.Since the correlation between futures changes with time,based on Patton’s time-varying Copula theory,this paper uses a process similar to ARMA(1,10)to describe the time-varying parameters of Copula,and obtains VaR and Co VaR of futures’ conditional VAR.The study found that,first,there is a strong correlation between Shanghai crude oil futures and other futures,which fluctuates within a certain range over time.Second,when the spillover risk of external factors is not taken into account,the price of plastic futures is stable and its market risk is small,while other futures markets all have certain risks.Third,when external risks are considered,there is a two-way risk spillover effect between Shanghai crude oil futures and other futures.Shanghai crude oil futures and other futures are both risk issuers and risk recipients.Among them,the spillover effect between Shanghai crude oil futures and asphalt futures is equal,while the spillover effect between Shanghai crude oil futures and plastic and fuel oil futures is not equal.Shanghai crude oil futures has a strong risk spillover effect on plastic and fuel oil futures.Fourth,plastics,asphalt and fuel oil futures are all at the demand end of the oil industry chain,and their impacts on Shanghai crude oil futures are similar.This paper concludes that the spillover risk of domestic oil demand end futures on Shanghai crude oil futures is about-0.04.Fifth,Shanghai crude oil futures to a large extent affects fuel oil,plastic futures,especially fuel oil futures,its market risk can not be underestimated.Finally,this paper puts forward some suggestions from the perspective of investors,enterprises and government.