The Empirical Analysis of the Risk of NYMEX Crude Oil Futures Market Based on the VAR-GARCH Model

摘要

The NYMEX crude oil futures market is an oil trading platform which has the largest liquidity, its market price following the trend of world oil prices. In recent years, the frequent crude oil crisis has brought great harm to the stability of the world economic. The quantitative analysis method of the risk of crude oil futures market has always focused on independent symmetry of normal distribution hypothesis of the VAR method, but the accuracy is not very ideal, while the VAR-GARCH model to estimate the results is more accurate than traditional VAR results. This paper tries to use the VAR-GARCH model to estimate the variance of crude oil futures prices yield, improve traditionally-poor VAR estimates and, through empirical analysis, estimate oil futures market risk.