The role of SGT distribution in Value-at-Risk estimation: evidence from the WTI crude oil market
學年 97
學期 2
出版（發表）日期 2009-03-01
作品名稱 The role of SGT distribution in Value-at-Risk estimation: evidence from the WTI crude oil market
作品名稱（其他語言）
著者 Liu, Hung-chunn; Lee, Ming-Chih; Chang, Chin-mo
單位 淡江大學財務金融學系
出版者 Dilovi Perspektyvy,Business Perspectives
著錄名稱、卷期、頁數 Investment Management and Financial Innovations 6(1), pp.86-95
摘要 This study assesses market risk in the international crude oil market from the perspective of VaR analysis. A GARCHSGT approach is thus proposed capable of coping with fat-tails, leptokurtosis and skewness using SGT returns innovations and catering for volatility clustering with the GARCH(1,1) model in modeling one-day-ahead VaR. This technique is illustrated using daily returns of West Texas Intermediate crude oil spot prices from December 2003 to December 2007. Empirical results indicate that the VaR forecast obtained by the GARCH-SGT model is superior to that of the GARCH-T and GARCH-GED models through a series of rigorous model selection criteria. Overall, the sophisticated SGT distributional assumption significantly benefits VaR forecasting for WTI crude oil returns at low and high confidence levels, indicating a need for VaR models that consider fat-tails, leptokurtosis and skewness behaviors. The GARCH-SGT model thus is a robust forecasting approach that can practically be implemented for VaR measurement.
關鍵字 risk management; crude oil; SGT distribution; conditional coverage
語言 en
ISSN 1810-4967 1812-9358 1813-4998
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 是
國別 UKR
公開徵稿
出版型式 紙本 電子版
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