IDEAS home Printed from https://ideas.repec.org/a/taf/recsxx/v25y2022i1p454-475.html
   My bibliography  Save this article

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

Author

Listed:
  • Xinyu Wang
  • Lele Zhang
  • Qiuying Cheng
  • Song Shi
  • Huawei Niu

Abstract

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.

Suggested Citation

  • Xinyu Wang & Lele Zhang & Qiuying Cheng & Song Shi & Huawei Niu, 2022. "What drives risk in China’s soybean futures market? Evidence from a flexible GARCH-MIDAS model," Journal of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 454-475, December.
    • Handle: RePEc:taf:recsxx:v:25:y:2022:i:1:p:454-475
    DOI: 10.1080/15140326.2022.2046989
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15140326.2022.2046989
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15140326.2022.2046989?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Amalia, Shendy & Effendi, Kharisya Ayu & Riantani, Suskim, 2024. ""Carbon Spectacular" - Exploring the Path to Enhance the Precision of Fiscal and Tax Support for Innovative Technologies in Energy Conservation and Emission Reduction," OSF Preprints 4rydm, Center for Open Science.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:recsxx:v:25:y:2022:i:1:p:454-475. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/recs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.