Measuring Market Risks of Crude Oil Price — Based on EGARCH-EVT-t Copula Model

Based on the characteristics of the rates of return of crude oil spot market, and in order to accurately describe the characteristics of fat-tails, leptokurtosis, skewness and volatility, this paper used EGARCH model to conditional volatility, and then used extreme value theory model extreme tail of standard residuals to calculate the extreme risks of crude oil spot market. Copula function and Monte Carlo simulation method are used to measure the VaR from one day to one month. The empirical results show that for the crude oil spot market, with the increase of confidence and the extension of holding, the absolute value of the VaR increases. Moreover, the back testing results indicate that the extreme risk measurement is feasible and effective based on the EGARCH-EVT-t Copula model.