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This paper uses extreme value theory and exponential generalised autoregressive score models to estimate the tail extremes of financial return series. The peak-over-threshold method based on the generalised pareto distribution is combined with the EGAS models and the nonparametric quantile method is used to determine the thresholds in the POT method, which is used to calculate the value-at-risk of financial markets and to perform backtesting. The empirical analysis was conducted on the soybean oil, rapeseed oil, and palm oil futures indices in the Chinese futures market. The study demonstrated that the EGAS-POT models based on nonparametric quantile thresholds can effectively characterise tail risk and provide a feasible measure of risk for investors.

Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model