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

Table 7

Estimation of GJR-GARCH (2, 1) model.

Coefficient estimation	0.0000252	0.4193364	−0.3562949	0.9615618	−0.0453458
Z value	3.05	13.24	−10.82	153.91	−5.38
value	0.002	0.000	0.000	0.000	0.000