| As a kind of coal,thermal coal is the main resource for thermal power generation in China.Thermal coal industry is an important basic industry of the national economy.China’s thermal coal has a high degree of marketization,and thermal coal futures contracts play an important role in price discovery and risk aversion.However,the futures market itself has great investment risks.If there is a lack of reasonable risk control and early warning measures,it will bring huge losses to investors.In the context of the covid epidemic,the issue of market risk is particularly worthy of attention.This thesis selects VaR as an indicator of risk management,and uses the CAViaR model,intraday-data-CAViaR model,EVT-CAViaR model and EVT-intraday-data-CAViaR model to calculate the VaR of long and short positions in the main thermal coal futures contracts of Zhengzhou Commodity Exchange,respectively.The models were tested in-sample and outof-sample by Kupiec test and DQ test,and finally the effects of the models were compared and evaluated.The empirical results show that:(1)Compared with the traditional CAViaR model,the intraday-data-CAViaR model can better measure the extreme risks of the thermal coal futures market,indicating that the intraday data as an exogenous variable contains more information and it is better to add the model to measure the market risk;(2)The effect of the models on the long risk measurement of the market is generally better than the effect on the short position,indicating that the long and short risk characteristics of the thermal coal futures market are different.The traditional CAViaR model and intraday-data-CAViaR model are more suitable for measuring the long risk of the market;(3)The EVT-CAViaR model and the EVT-intraday-data-CAViaR model have greatly improved the measurement effect of the short risk,indicating that the extreme risk of shorts in the thermal coal futures market occurs less frequently.In this case,extreme value theory can improve the estimation effect of the original model.In general,this thesis comprehensively measures the risk status of long and short positions in China’s thermal coal futures market,and provides a reference for actual risk management from the perspective of semi-parametric method,which is less studied at present. |
