alexa Abstract | Forecast and Backtesting of VAR Models in Crude Oil Market

Research & Reviews: Journal of Statistics and Mathematical Sciences
Open Access

OMICS International organises 3000+ Global Conferenceseries Events every year across USA, Europe & Asia with support from 1000 more scientific Societies and Publishes 700+ Open Access Journals which contains over 50000 eminent personalities, reputed scientists as editorial board members.

Open Access Journals gaining more Readers and Citations

700 Journals and 15,000,000 Readers Each Journal is getting 25,000+ Readers

This Readership is 10 times more when compared to other Subscription Journals (Source: Google Analytics)

Research Article Open Access

Abstract

The oil price has a very important effect on the world economy. In this paper, using data sets of Europe Brent and West Texas Intermediate (WTI) Cushing crude oil daily prices from Jan. 4, 2000 to Jan. 4, 2016, the VaR forecasting performance of GARCH-type models are analyzed and compared in a short horizon. Based on the Kupiecs POF-test and Christo ffersens interval forecast test, as well as a Back testing VaR Loss Function, the empirical results indicate that, for Europe Brent crude oil, EGARCH (1,1) has the best performance; while for WTI, APARCH (1,1) and GJR-GARCH (1,1) outperform other GARCH models. In fact, these results also give significant guidance on how to choose a better risk management model for the certain commodity of different companies even in the same time period.

To read the full article Peer-reviewed Article PDF image | Peer-reviewed Full Article image

Author(s): Yue-Xian Li*, Jin-Guo Lian and Hong-Kun Zhang

Keywords

Risk Metrics, Value-at-risk, GARCH-class models, Forecasting, Backtesting, Biometrics ,Biostatistics, Behaviometrics, Combinatorics, Deformation, Geometry, Harmonic analysis, Algebra, Homotopical Algebra,Latin square, Lie theory, Lie Triple Systems, Loop Algebra,Representation theory, Symmetric Space, Topology, Quantum Group, Operad theory, Quasigroup

Share This Page

Additional Info

Loading
Loading Please wait..
 
 
Peer Reviewed Journals
 
Make the best use of Scientific Research and information from our 700 + peer reviewed, Open Access Journals
International Conferences 2017-18
 
Meet Inspiring Speakers and Experts at our 3000+ Global Annual Meetings

Contact Us

 
© 2008-2017 OMICS International - Open Access Publisher. Best viewed in Mozilla Firefox | Google Chrome | Above IE 7.0 version
adwords