CEU Electronic Theses and Dissertations, 2009
| Author | Pigildin, Dmitriy Igorevich |
|---|---|
| Title | Value-at-Risk Estimation and Extreme Risk Spillover between Oil and Natural Gas Markets |
| Summary | Based on the closing spot prices of Western Texas Intermediate (WTI) crude oil and Henry Hub natural gas spanning from 1994 to 2009, this work examines the performance of four risk quantification methodologies (widely known as Value-at-Risk) and assesses them against several accuracy and efficiency criteria. The results indicate that at 95% confidence level GED-GARCH method performs better than any other alternative: the VaR series obtained with this method are statistically accurate and are the least likely to result in forgone profits from speculation. The VaR series calculated with GED-GARCH are used further to investigate extreme risk spillover between the respective markets. Using the Hong’s concept of Granger causality in risk (2002), we show that there is a significant risk spillover from oil market to natural gas market during the period in consideration, while there is no spillover in the reverse direction. Moreover, the upside risk spillover from oil to gas markets is found to be more statistically (and economically) significant and protracted than the downside risk spillover. |
| Supervisor | Péter Kondor |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2009/pigildin_dmitriy.pdf |
Visit the CEU Library.
© 2007-2021, Central European University