Research Article
Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model
Table 6
Comparison of GJR-GARCH (p, q) model.
| | GJR-GARCH (1, 1) | GJR-GARCH (1, 2) | GJR-GARCH (2, 1) | GJR-GARCH (2, 2) |
| r | 0.371 | 0.371 | 0.369 | 0.371 | (192.62) | (192.95) | (246.26) | (196.42) | ARCH | | | | | L.arch | 0.378 | 0.378 | 0.419 | 0.364 | (10.33) | (10.31) | (13.24) | (9.31) | L2.arch | | | 0.356 | 0.234 | | | (−10.82) | (5.12) | L.gjr-garch | −0.0841 | −0.0788 | 0.0453 | −0.0529 | (−1.38) | (−1.28) | (−5.38) | (−0.84) | L2.gjr-garch | | 0.0133 | | −0.0107 | | (0.59) | | (−0.20) | L.garch | −0.0237 | −0.0663 | 0.962 | −0.759 | (−0.81) | (−0.92) | (153.91) | (−10.14) | Cons | 0.00345 | 0.00361 | 0.00000252 | 0.00592 | (22.61) | (13.52) | (3.05) | (16.89) |
| N | 1219 | 1219 | 1219 | 1219 | Log likelihood | 1589.9 | 1590.1 | 1646.4 | 1595.4 | AIC | −3169.7 | −3168.1 | −3280.9 | −3176.8 | BIC | −3144.2 | −3137.5 | −3250.3 | −3141.1 |
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t-statistics are given in parentheses. , , and . |