Market risk in commodity markets: a VaR approach
We put forward Value-at-Risk models relevant for commodity traders who have long and short trading positions in commodity markets. In a five-year out-of-sample study on aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts, we assess the performance of the RiskMetrics, skewed Student APARCH and skewed student ARCH models. While the skewed Student APARCH model performs best in all cases, the skewed Student ARCH model delivers good results and its estimation does not require non-linear optimization procedures. As such this new model could be relatively easily integrated in a spreadsheet-like environment and used by market practitioners.
Year of publication: |
2003-04
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Authors: | GIOT, Pierre ; LAURENT, Sébastien |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | Value-at-Risk | skewed Student distribution | ARCH | APARCH | commodity markets |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2003028 |
Classification: | C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets |
Source: |
Persistent link: https://www.econbiz.de/10005043519
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