Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

• Main Authors: Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta
• Format: Journal
• Published: 2018
• Subjects: Biochemistry, Genetics and Molecular Biology; Environmental Science
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84940369661&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/54197
• Institution: Chiang Mai University

© 2015 Jiechen Tang et al. This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT...