| 題名: | Modeling Value-at-Risk in Oil Price Using Bootstrapping Approach |
| 作者: | Lee, Ming-chih;Chiu, Chien-liang;Cheng, Wan-hsiu |
| 貢獻者: | 淡江大學財務金融學系 |
| 關鍵詞: | Crude oil;Value-at-Risk;Bootstrapping;Rolling |
| 日期: | 2010-06 |
| 上傳時間: | 2011-10-24 10:32:23 (UTC+8) |
| 出版者: | Mahe: EuroJournals |
| 摘要: | This investigation estimates the Value-at-Risk (VaR) for the return on crude oil for WTI (West Texas Intermediate) via the RiskMetrics and AR-GARCH models using the rolling bootstrapping method. The empirical results demonstrate that the bootstrapping method is superior to no-bootstrapping method. The average quadratic loss function in bootstrapping method is significantly lower than in no-bootstrapping. It is evidence that the no-bootstrapping forecast is too confident and the bootstrapping forecast is too cautious for 1% VaR estimates. Moreover, the AR-GARCH model performs better than the RiskMetric model in no-bootstrapping, but not in bootstrapping. Finally, the longer the observation periods, the forecasting performance is improving. |
| 關聯: | International Research Journal of Finance and Economics 40, pp.7-19 |
| 顯示於類別: | [財務金融學系暨研究所] 期刊論文
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