Research On The Risk Measurement Of International Oil Market Based On VaR-GARCH Model

In recent years, with the international shipping market greatly affected by factors such as international financial crisis, its uncertainty increased gradually, the risk of the international shipping market is noticed by more people. Measure the risk of the shipping market scientifically conduces to make proper and timely judgment on the development trend of shipping market by shipping enterprise. Thus risk measurement becomes the core activity of the management of shipping enterprises. This thesis takes the risk of the international crude oil shipping market as the main research content and measure the risks based on VaR-GARCH model. The research contents are as follows:Firstly, this thesis analyzes the international crude oil shipping market from two aspects of current situation and freight rate of international shipping market. The analysis of current situation of the international shipping market includes demand analysis, transportation capacity analysis and risk analysis. The analysis of the shipping market freight rate includes the current situation analysis and rate index BDTI analysis.Secondly, this thesis introduces the risk measurement method based on VaR, including the concept and calculation steps of VaR. Besides, the thesis also discusses the application of VaR in the thesis from aspects of ARCH/GARCH model and building of VaR-GARCH model to make the theoretical basis for next research.Lastly, this thesis carries on the empirical research on the risk measurement of international crude oil shipping market. The empirical research includes the following several aspects:the collection and processing of sample data; the normality test, stationarity test, auto-correlation test and ARCH effect test of sample data; the calculation of the VaR of international crude oil shipping market based on VaR-GARCH model; the analysis of empirical results based on the model. In the foundation of empirical research, this thesis makes some reference suggestions for the risk management of international crude oil shipping market and points out the innovation and insufficient of this thesis.