Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/54197
Title: Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
Authors: Jiechen Tang
Chao Zhou
Xinyu Yuan
Songsak Sriboonchitta
Authors: Jiechen Tang
Chao Zhou
Xinyu Yuan
Songsak Sriboonchitta
Keywords: Biochemistry, Genetics and Molecular Biology;Environmental Science
Issue Date: 1-Jan-2015
Abstract: © 2015 Jiechen Tang et al. This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions. Third, multivariate Gaussian copula and Student t-copula are employed to describe the natural gas portfolio risk dependence structure. Finally, we simulate N portfolios and estimate value at risk (VaR) and conditional value at risk (CVaR). Our empirical results show that, for an equally weighted portfolio of five natural gases, the VaR and CVaR values obtained from the Student t-copula are larger than those obtained from the Gaussian copula. Moreover, when minimizing the portfolio risk, the optimal natural gas portfolio weights are found to be similar across the multivariate Gaussian copula and Student t-copula and different confidence levels.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84940369661&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54197
ISSN: 1537744X
23566140
Appears in Collections:CMUL: Journal Articles

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