Study on the Estimation of VaR of Copper Futures  Based on GARCHSK Model

This paper has estimated the conditional skewness and kurtosis using t he GARCHSK model and then proposed an estimation method of VaR based on skewed and fat tailed distribution. The empirical results from Shanghai copper futures data suggest that the conditional skewness and kurtosis are time varying significantly. And the estimation method based on GARCHSK model can make the VaR estimation more accurate after considering the impacts of conditional skewness and kurt osis.