期刊名称：International Journal of Econometrics and Financial Management
印刷版ISSN：2374-2011
电子版ISSN：2374-2038
出版年度：2014
卷号：2
期号：5
页码：188-205
DOI：10.12691/ijefm-2-5-4
语种：English
出版社：Science and Education Publishing
摘要：The aim of this paper is to quantify risk in oil, gas natural and phosphates markets by the Value at Risk and Expected Shortfull using McNeil and Frey (2000) two-steps approach based on the combination of the theory of extreme values and the GARCH model. A comparison is made between this method and various conventional methods such as GARCH models, Filtered hsitoriacal simulation, unconditional EVT-POT and unconditional EVT Bloc. Particular attention is given to study the quality of VaR forecasts obtained from conditional EVT method. The results we report show that this method is the best one for quantile superior to 99%. In all other cases, it offer acceptable VaR’s forecasts but not statistically better than GARCH methods.
关键词：risk measurement; oil; natural gas and phosphate markets; filtered data; conditional EVT; value-at-risk; expected shortfull
