Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts
Journal Title: Dynamic Econometric Models - Year 2015, Vol 15, Issue
Abstract
The aim of the research is to compare VaR methods/models for commodities. For risk measurement Conditional Autoregressive Value at Risk models (CAViaR), implied quantile model and encompassing method are used. The aim is to check whether simultaneous use of information both from historical time series and regarding markets' expectation can improve accuracy of forecasts. For this purpose four methods of combining forecasts are used: a simple average combining, an unrestricted linear combination, a weighted averaged combining and a weighted averaged combining using exponential weighting. In the case of the commodities neither the encompassing method nor the combining forecast method improve VaR forecasts. The method of choosing the most adequate model leads to simple CAViaR-SAV model as the source of most optimal measure of risk forecasts. The Kupiec test, the Christoffersen and the Dynamic Quantile test indicate the model as an adequate to forecast VaR for gold and oil for short positions at the 0.01 and the 0.05 significance level, and for a long position at the 0.05 significance level.
Authors and Affiliations
Ewa Ratuszny
Keywords
Related Articles
- EP ID EP197114
- DOI 10.12775/DEM.2015.006
- Views 92
- Downloads 0
The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market
The paper addresses the question of how the exchange rate dynamics affects the analysis of linkages between national stock markets. We consider two ways of tackling the problem. The first one consists in denominating th...
Density Forecasts Based on Disaggregate Data: Nowcasting Polish Inflation
The paper investigates gains in performance of density forecasts from models using disaggregate data when forecasting aggregate series. The problem is considered within a restricted VAR framework with alternative sets of...
An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013
This article presents research results and describes and clarifies differences in a level of the entrepreneurship index observed between Polish voivodeships in the period from 2004 to 2013. The expected results were conf...
Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
This article presents the analysis of the contagion effect in the capital markets on the basis of the Markov switching models MS. The research is based on the return of the indexes. There is a distinction of two regimes...
The Effects of Income Inequality and Redistribution in Democracies: A Dynamic Panel Data Approach
In this paper, the simultaneous effects of the inequality and redistribution on economic growth are tested for the whole sample and for a subset of democratic countries, following system-GMM estimation on a panel dataset...