Comparison of historically simulated VaR: Evidence from oil prices
作者： Alexandra Costello , Ebenezer Asem , Eldon Gardner
DOI: 10.1016/J.ENECO.2008.01.011
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摘要: Abstract Cabedo and Moya [Cabedo, J.D., Moya, I., 2003. Estimating oil price ‘Value at Risk’ using the historical simulation approach. Energy Economics 25, 239–253] find that ARMA with delivers VaR forecasts are superior to those from GARCH. We compare semi-parametric GARCH model proposed by Barone-Adesi et al. [Barone-Adesi, G., Giannopoulos, K., Vosper, L., 1999. without correlations for portfolios of derivative securities. Journal Futures Markets 19 (5), 583–602]. The results suggest generates simulation. This is due fact captures volatility clustering. Our findings Moya's conclusion mainly driven normal distributional assumption imposed on future risk structure in model.
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