Abstract
This paper uses the Conditional Autoregressive Value at Risk model (CAViaR) proposed by Engle and Manganelli (2004) to evaluate the value-at-risk for daily spot prices of Brent crude oil and West Texas Intermediate crude oil covering the period May 21th, 1987 to Novermber 18th, 2008. Then the accuracy of the estimates of CAViaR model, Normal-GARCH, and GED-GARCH was compared. The results show that all the methods do good job for the low confidence level (95%), and GED-GARCH is the best for spot WTI price, Normal-GARCH and Adaptive-CAViaR are the best for spot Brent price. However, for the high confidence level (99%), Normal-GARCH do a good job for spot WTI, GED-GARCH and four kind of CAViaR specifications do well for spot Brent price. Normal-GARCH does badly for spot Brent price. The result seems suggest that CAViaR do well as well as GED-GARCH since CAViaR directly model the quantile autoregression, but it does not outperform GED-GARCH although it does outperform Normal-GARCH.
This research was supported by China National Science Foundation (70703023).
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Xiliang, Z., Xi, Z. (2009). Estimation of Value-at-Risk for Energy Commodities via CAViaR Model. In: Shi, Y., Wang, S., Peng, Y., Li, J., Zeng, Y. (eds) Cutting-Edge Research Topics on Multiple Criteria Decision Making. MCDM 2009. Communications in Computer and Information Science, vol 35. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02298-2_64
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DOI: https://doi.org/10.1007/978-3-642-02298-2_64
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