Energy commodities: A study on model selection for estimating Value-at-Risk

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2022-01-01 DOI:10.22394/1993-7601-2022-68-5-27

Raphael Amaro, C. Pinho

引用次数: 0

Abstract

Changes in commodity prices can be transmitted directly to the real economy through changes in the marginal cost of production. Therefore, it is extremely important to create some mechanism to protect against these movements in the commodities futures market. Exposure in this market comes along with tail risk, which must be measured and controlled using a risk measure. To help economic agents, this research provides a common statistical specification that can be used to reliably predict the Value‐at‐Risk of four important energy commodities. For this, the predictions of a range of 48 competing models, composed of four heteroskedastic specifications, six conditional distributions, and a Markov chain with up to two regimes, were compared using various statistical tests, and the model with the best average results was preferred.

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能源商品:评估风险价值的模型选择研究

商品价格的变化可以通过边际生产成本的变化直接传导到实体经济。因此，在商品期货市场上建立一些机制来防止这些波动是极其重要的。这个市场的风险敞口伴随着尾部风险，必须使用风险度量来衡量和控制尾部风险。为了帮助经济主体，本研究提供了一个通用的统计规范，可用于可靠地预测四种重要能源商品的风险价值。为此，使用各种统计测试比较了48个相互竞争的模型的预测，这些模型由4个异方差规范、6个条件分布和至多2个制度的马尔可夫链组成，并优选了具有最佳平均结果的模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.