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Value at Risk of Oil Prices Prediction
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Hadi Heidari   , Azam Ahmadyan * |
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Abstract: (879 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 |
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| Keywords: Value at Risk, GARCH Family Model, Christoffersen Test |
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Full-Text [PDF 395 kb]
(269 Downloads)
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notification: Research |
Subject:
Special
Received: 2016/05/14 | Accepted: 2016/07/2 | Published: 2016/06/21
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