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    題名: The role of SGT distribution in Value-at-Risk estimation: evidence from the WTI crude oil market
    作者: Liu, Hung-chunn;Lee, Ming-Chih;Chang, Chin-mo
    貢獻者: 淡江大學財務金融學系
    關鍵詞: risk management;crude oil;SGT distribution;conditional coverage
    日期: 2009-03
    上傳時間: 2011-10-24 10:34:21 (UTC+8)
    出版者: Dilovi Perspektyvy,Business Perspectives
    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.
    關聯: Investment Management and Financial Innovations 6(1), pp.86-95
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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