Risk prevention of Shanghai gold futures based on VaR model

Abstract

This article introduces Shanghai gold futures and describes an in-depth analysis of the risk characteristics of the Shanghai gold futures market. By investigating the Shanghai gold futures price risk, this paper introduces the value at risk (VaR) theory model and uses related theories to conduct an empirical study on gold futures trading data of the Shanghai futures market. The study also works out the relative value of the VaR and then conducts a posterior test, which proved that the VaR results were basically consistent with the actual transaction data, indicating the approach of the model is effective and can be used as the basis for operational risk prevention. Finally, based on the actual situation of the Shanghai gold futures market, this paper puts forward some related measures to prevent risks and to help investors avoid these associated risks.