Portfolio optimization of energy commodity futures returns: Vine copula approach

© Serials Publications Pvt.Ltd. The objectives of this study are to construct the optimum energy commodity portfolio investment by using Vine-copula GARCH, and to quantify their risk with Value-at-Risk and expected shortfall. The 1,979 energy commodity futures prices from 7 energy commodity products...

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Main Authors: Tarkhamtham P., Sriboonchitta S., Tansuchat R.
Format: Journal
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019592895&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/40931
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-409312017-09-28T04:14:34Z Portfolio optimization of energy commodity futures returns: Vine copula approach Tarkhamtham P. Sriboonchitta S. Tansuchat R. © Serials Publications Pvt.Ltd. The objectives of this study are to construct the optimum energy commodity portfolio investment by using Vine-copula GARCH, and to quantify their risk with Value-at-Risk and expected shortfall. The 1,979 energy commodity futures prices from 7 energy commodity products, namely crude oil, natural gas, gasoline, heating oil, diesel, ethanol, and gasoil, were collected from 1 September 2009 to 31 March 2017, traded in the New York Mercantile Exchange (NYMEX). The empirical results showed that every fitted conditional volatility models are ARMA-EGARCH with student t, and skew student t distribution, and the appropriate vine-copula model for dependence structure among three types of vine copulas is C-vine. The estimated VaR and ES of the portfolio in period t+1at 10%, 5%, and 1% level are-2.33,-3.12,-4.81 and-3.54,-4.40,-3.54 respectively. The optimum portfolio investment result suggests to focuses on the diesel, ethanol, and gas oil investment due to high investment proportion, whereas crude oil and gasoline have little investment proportion. 2017-09-28T04:14:34Z 2017-09-28T04:14:34Z 2017-01-01 Journal 09727302 2-s2.0-85019592895 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019592895&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40931
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Serials Publications Pvt.Ltd. The objectives of this study are to construct the optimum energy commodity portfolio investment by using Vine-copula GARCH, and to quantify their risk with Value-at-Risk and expected shortfall. The 1,979 energy commodity futures prices from 7 energy commodity products, namely crude oil, natural gas, gasoline, heating oil, diesel, ethanol, and gasoil, were collected from 1 September 2009 to 31 March 2017, traded in the New York Mercantile Exchange (NYMEX). The empirical results showed that every fitted conditional volatility models are ARMA-EGARCH with student t, and skew student t distribution, and the appropriate vine-copula model for dependence structure among three types of vine copulas is C-vine. The estimated VaR and ES of the portfolio in period t+1at 10%, 5%, and 1% level are-2.33,-3.12,-4.81 and-3.54,-4.40,-3.54 respectively. The optimum portfolio investment result suggests to focuses on the diesel, ethanol, and gas oil investment due to high investment proportion, whereas crude oil and gasoline have little investment proportion.
format Journal
author Tarkhamtham P.
Sriboonchitta S.
Tansuchat R.
spellingShingle Tarkhamtham P.
Sriboonchitta S.
Tansuchat R.
Portfolio optimization of energy commodity futures returns: Vine copula approach
author_facet Tarkhamtham P.
Sriboonchitta S.
Tansuchat R.
author_sort Tarkhamtham P.
title Portfolio optimization of energy commodity futures returns: Vine copula approach
title_short Portfolio optimization of energy commodity futures returns: Vine copula approach
title_full Portfolio optimization of energy commodity futures returns: Vine copula approach
title_fullStr Portfolio optimization of energy commodity futures returns: Vine copula approach
title_full_unstemmed Portfolio optimization of energy commodity futures returns: Vine copula approach
title_sort portfolio optimization of energy commodity futures returns: vine copula approach
publishDate 2017
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019592895&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/40931
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