Title :
The Overseas Investment VAR about Mineral Resources Based on GARCH Models
Author :
Hu, Dong-Bin ; Zhang, Zhan-Ying
Author_Institution :
Bus. Sch., Central South Univ., Changsha, China
Abstract :
We studied the risks of financial market in the international minerals market .This article, we take London copper and the exchange rate of RMB/USD for example, using GARCH models for measuring value at risk (VaR). At last, we use the Kupiec test as a back testing of VaR model. The purpose of this study wants to provide reference for the overseas investment of China enterprises.
Keywords :
exchange rates; investment; minerals; natural resources; China enterprises; GARCH models; Kupiec test; London copper; exchange rate; financial market; international minerals market; mineral resources; overseas investment VaR; value at risk; Autoregressive processes; Biological system modeling; Copper; Equations; Exchange rates; Investments; Mathematical model;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5576896
