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

<table class="table-group" id="tab5"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td class="align_left"><i>F</i> value</td><td class="align_center">1.462706</td><td class="align_center"><svg height="8.68572pt" id="M25" 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">0.1479</td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td class="align_left">Obs<svg height="6.01072pt" id="M26" style="vertical-align:-0.04980993pt" version="1.1" viewbox="-0.0498162 -5.96091 7.75925 6.01072" width="7.75925pt" 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="M471 153C471 170 463 194 452 212C400 220 373 229 322 255C373 281 400 290 452 298C463 316 471 339 471 357C456 366 431 371 410 370C377 329 356 310 308 279C311 336 317 364 336 413C326 432 310 451 294 459C279 451 262 432 252 413C271 364 277 336 280 279C232 310 211 329 178 370C157 371 132 367 117 357C117 340 125 316 136 298C188 290 215 281 266 255C215 229 188 220 136 212C125 194 117 171 117 153C132 144 157 139 178 140C211 181 232 200 280 231C277 174 271 146 252 97C262 78 278 59 294 51C309 59 326 78 336 97C317 146 311 174 308 231C356 200 377 181 410 140C431 139 456 143 471 153Z"></path></g></svg>R-squared</td><td class="align_center">14.58331</td><td class="align_center">Prob. chi-square (10)</td><td class="align_center">0.148</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Complexity

tab5

Table 5

Table 5: Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model 