Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
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) is fitted to the tails of...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2015-01-01
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| Series: | The Scientific World Journal |
| Online Access: | http://dx.doi.org/10.1155/2015/125958 |