Estimation of Value-at-Risk for Energy Commodities via Fat-Tailed GARCH Models
學年 96
學期 2
出版（發表）日期 2008-05-01
作品名稱 Estimation of Value-at-Risk for Energy Commodities via Fat-Tailed GARCH Models
作品名稱（其他語言）
著者 李命志; Hung, Jui-cheng; Lee, Ming-chih; Liu, Hung-chun
單位 淡江大學財務金融學系
出版者 Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數 Energy Economics 30(3), pp.1173-1191
摘要 The choice of an appropriate distribution for return innovations is important in VaR applications owing to its ability to directly affect the estimation quality of the required quantiles. This study investigates the influence of fat-tailed innovation process on the performance of one-day-ahead VaR estimates using three GARCH models (GARCH-N, GARCH-t and GARCH-HT). Daily spot prices of five energy commodities (WTI crude oil, Brent crude oil, heating oil #2, propane and New York Harbor Conventional Gasoline Regular) are used to compare the accuracy and efficiency of the VaR models. Empirical results suggest that for asset returns that exhibit leptokurtic and fat-tailed features, the VaR estimates generated by the GARCH-HT models have good accuracy at both low and high confidence levels. Additionally, MRSB indicates that the GARCH-HT model is more efficient than alternatives for most cases at high confidence levels. These findings suggest that the heavy-tailed distribution is more suitable for energy commodities, particularly VaR calculation. (c) 2007 Elsevier B.V. All rights reserved.
關鍵字 VaR; GARCH-HT; energy commodities; MRSB; fat tails
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ISSN 0140-9883
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