The Empirical Research About The Price Discovery Function And Risk Measurement Of Shanghai Copper Futures Market

This dissertation based on the time sequence theory, firstly uses the cointegration test, vector auto-regressive (VAR) model, vector error correction model (VECM), causal testing and impulse responses function statistical and measurement methods to make empirical reasearch about price discovery of Shanghai copper future makert.The empirical reasearch results display there is a long-term equilibrium relationship during the copper future price,present price and stock price ,give their VECM model, and VECM analysis and prediction method. Through the pulse corresponding function image gets the interaction impact stenth and length. Causality tests show that the Shanghai copper futures and present price have the mutual guilding relationships.Secondly to seek the most suitable measure model for Shanghai copper futures market risk, separately calculate the VaR in normal distribution under the assumption GARCH(1, 1) model, he VaR in student distribution under the assumption (1, 1) GARCH(1, 1) model,as well as the VaR of GARCH - VaR semiparametric method,and compare the real price gains in Shanghai copper future market.The results show that at the same confidence lever 99%,the overflow ratio of normal distribution under the assumption GARCH(1, 1) model is 2.13%, the overflow ratio of student distribution under the assumption GARCH(1, 1) model is 1.85%, the overflow ratio of GARCH-VaR semiparametric method is 1.28%.The results show that the GARCH-VaR semiparametric method is more stable and accurate.