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:: 1, Issue 2 (quarterly journal theories of financial economics,vol1,no.2,sep,2016 2016) ::
TFI 2016, 1(2): 73-88 Back to browse issues page
Value at Risk of Oil Prices Prediction
Hadi Heidari , Azam Ahmadyan *
Abstract:   (932 Views)
Crude oil is one of Resources and an Important Resource of Income in Iran that Volatility of its Price, Causing Instability in Oil Revenue and therefore Economic Instability in Iran. Given the Importance of the Issue, the Aim of this Paper is Estimation of Value at Risk of Oil Price the Price of Oil is Worth the Risk. For this Purpose, the Method Used is a Combination ARMA-GARCH-EVT. Data Review is Brent Crude for the Period 2000 to 2014. The Results of Tests and Accurately Shows that Using the Theory of Extreme Values with the GARCH Family Models to Identify Pessimistic Oil Price have Achieved good Performance in Comparison with the Actual Data
Keywords: Value at Risk, GARCH Family Model, Christoffersen Test
Full-Text [PDF 395 kb]   (304 Downloads)    
notification: Research | Subject: Special
Received: 2016/05/14 | Accepted: 2016/07/2 | Published: 2016/06/21
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Heidari H, Ahmadyan A. Value at Risk of Oil Prices Prediction. TFI 2016; 1 (2) :73-88
URL: http://tfe.raja.ac.ir/article-1-62-en.html


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1, Issue 2 (quarterly journal theories of financial economics,vol1,no.2,sep,2016 2016) Back to browse issues page
فصلنامه نظریه های اقتصاد مالی فصلنامه نظریه های اقتصاد مالی
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