期刊論文
| 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 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72578 ) |