淡江大學機構典藏:Item 987654321/72533
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    题名: Modeling Value-at-Risk in Oil Price Using Bootstrapping Approach
    作者: Lee, Ming-chih;Chiu, Chien-liang;Cheng, Wan-hsiu
    贡献者: 淡江大學財務金融學系
    关键词: Crude oil;Value-at-Risk;Bootstrapping;Rolling
    日期: 2010-06
    上传时间: 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
    显示于类别:[財務金融學系暨研究所] 期刊論文

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