Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model

<table class="table-group" id="tab4"><tr><td><table class="table"><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr class="thead"><td class="align_left"> </td><td class="align_center"><span style="width: 12.1315ptpx;"><svg height="9.25202pt" id="M19" style="vertical-align:-3.29111pt" version="1.1" viewbox="-0.0498162 -5.96091 12.1315 9.25202" width="12.1315pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M545 106L524 126C493 85 467 65 455 65C438 65 427 113 405 238C448 295 498 362 543 439L533 448L478 435C453 386 423 331 398 295H395C370 404 347 448 282 448C169 448 23 309 23 153C23 54 65 -12 128 -12C203 -12 283 70 339 155H341C360 29 380 -12 411 -12C444 -12 491 11 545 106ZM333 204C265 95 210 54 169 54C137 54 113 96 113 171C113 302 191 405 252 405C301 405 318 306 333 204Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.059,3.132)"><path d="M245 635C92 635 37 457 37 312C37 149 91 -12 244 -12C395 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class="thead-hr" colspan="5"><hr/></td></tr><tr><td class="align_left">Coefficient estimation</td><td class="align_center">0.0001624</td><td class="align_center">0.1424091</td><td class="align_center">0.8435093</td><td class="align_center">0.9859184</td></tr><tr><td class="align_left"><i>Z</i> value</td><td class="align_center">8.37</td><td class="align_center">15.71</td><td class="align_center">110.39</td><td class="align_center"> </td></tr><tr><td class="align_left"><svg height="8.68572pt" id="M23" style="vertical-align:-0.0498209pt" version="1.1" viewbox="-0.0498162 -8.6359 8.15071 8.68572" width="8.15071pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M600 480C600 590 528 650 384 650H143L137 622C222 614 225 607 210 531L130 127C113 41 106 36 23 28L17 0H294L300 28C204 36 195 42 212 127L243 284L314 263C327 263 339 263 352 264C465 271 600 337 600 480ZM508 481C508 351 402 304 329 304C289 304 265 311 250 317L295 559C302 594 310 606 323 611C335 616 350 619 367 619C455 619 508 573 508 481Z"></path></g></svg> value</td><td class="align_center">0.000</td><td class="align_center">0.000</td><td class="align_center">0.000</td><td class="align_center"> </td></tr><tr class="table-tr"><td colspan="5"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Estimation of GARCH (1, 1) model.</div>

Complexity

tab4

Table 4

Table 4: Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model 