Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
學年 98
學期 2
出版（發表）日期 2010-05-24
作品名稱 Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
作品名稱（其他語言）
著者 Cheng, Wan-hsiu; Hung, Jui-cheng
單位
出版者
著錄名稱、卷期、頁數 Journal of Empirical Finance 18(1),　p.160-173
摘要 This paper utilizes the most flexible skewed generalized t (SGT) distribution for describing petroleum and metal volatilities that are characterized by leptokurtosis and skewness in order to provide better approximations of the reality. The empirical results indicate that the forecasted Value-at-Risk (VaR) obtained using the SGT distribution provides the most accurate out-of-sample forecasts for both the petroleum and metal markets. With regard to the unconditional and conditional coverage tests, the SGT distribution produces the most appropriate VaR estimates in terms of the total number of rejections; this is followed by the nonparametric distribution, generalized error distribution (GED), and finally the normal distribution. Similarly, in the dynamic quantile test, the VaR estimates generated by the SGT and nonparametric distributions perform better than that generated by other distributions. Finally, in the superior predictive test, the SGT distribution has significantly lower capital requirements than the nonparametric distribution for most commodities.
關鍵字 Skewed generalized t distribution;Volatility;Value-at-Risk
語言 en
ISSN 1879-1727
期刊性質 國外
收錄於 SSCI NotTSSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版