![](/images/graphics-bg.png)
Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
Joint Authors
Sriboonchitta, Songsak
Tang, Jiechen
Zhou, Chao
Yuan, Xinyu
Source
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-08-13
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Medicine
Information Technology and Computer Science
Abstract EN
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.
American Psychological Association (APA)
Tang, Jiechen& Zhou, Chao& Yuan, Xinyu& Sriboonchitta, Songsak. 2015. Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model. The Scientific World Journal،Vol. 2015, no. 2015, pp.1-7.
https://search.emarefa.net/detail/BIM-1078479
Modern Language Association (MLA)
Tang, Jiechen…[et al.]. Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model. The Scientific World Journal No. 2015 (2015), pp.1-7.
https://search.emarefa.net/detail/BIM-1078479
American Medical Association (AMA)
Tang, Jiechen& Zhou, Chao& Yuan, Xinyu& Sriboonchitta, Songsak. Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model. The Scientific World Journal. 2015. Vol. 2015, no. 2015, pp.1-7.
https://search.emarefa.net/detail/BIM-1078479
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1078479