Abstract：The mode of “income insurance + futures + bank” had opened an innovative mode of supporting and benefiting agriculture by combining “capital input” and “income guarantee”, but the closed loop of risk management under this mode had not really been formed. How to use the value at risk autoregressive conditional heteroskedasticity (VaR-ARCH) to effectively measure the possible risks under this model was discussed; Then, based on the daily data of soybean meal futures in Dalian Commodity Exchange from 2013 to 2020, an empirical test on the risk measurement method was carried out. The test results showed that there were great differences in the VaR failure rate obtained by arch family models under different distributions. Among them, GARCH (1,1) model had relatively high accuracy and could well capture the risk characteristics of sample data fluctuations. The research could provide a theoretical reference for the sustainable development of China's “income insurance + futures + bank” model and the development of other forms of agricultural policy pledge loan model.
2022, Vol. 35 
