What drives risk in China’s soybean futures market? Evidence from a flexible GARCH-MIDAS model

Journal of Applied Economics

卷:25

Lele Zhang¹  Qiuying Cheng²  Huawei Niu²  Song Shi²  Xinyu Wang² 

[1] School of Business and Management, Shanghai International Studies University, Shanghai, China;

[2] School of Economics and Management, China University of Mining and Technology, Xuzhou, Jiangsu, China;

关键词: GARCH-MIDAS;    volatility;    value at risk;    skewed t distribution;    futures market;   

DOI  :  10.1080/15140326.2022.2046989

来源: DOAJ

【 摘 要 】

Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short trading positions, allows for a different number of trading days per month, and can identify the optimal combination of risky factors. We also derive its impact response function on how low-frequency factors directly influence the high-frequency futures market risk. Through an exhaustive empirical analysis of the Chinese soybean futures market, we not only find its excellent out-of-sample market risk forecasting performance but also offer systematic recommendations for improving risk management.

【 授权许可】

Unknown