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: Payap Tarkhamtham, Songsak Sriboonchitta, Roengchai Tansuchat
Format: Journal
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/56871
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-568712018-09-05T03:36:58Z Portfolio optimization of energy commodity futures returns: Vine copula approach Payap Tarkhamtham Songsak Sriboonchitta Roengchai Tansuchat Business, Management and Accounting Economics, Econometrics and Finance © 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. 2018-09-05T03:31:19Z 2018-09-05T03:31:19Z 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/6653943832/56871
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Business, Management and Accounting
Economics, Econometrics and Finance
spellingShingle Business, Management and Accounting
Economics, Econometrics and Finance
Payap Tarkhamtham
Songsak Sriboonchitta
Roengchai Tansuchat
Portfolio optimization of energy commodity futures returns: Vine copula approach
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 Payap Tarkhamtham
Songsak Sriboonchitta
Roengchai Tansuchat
author_facet Payap Tarkhamtham
Songsak Sriboonchitta
Roengchai Tansuchat
author_sort Payap Tarkhamtham
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 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019592895&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/56871
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