Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

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...

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Bibliographic Details
Main Authors:	Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta
Format:	Article
Language:	English
Published:	Hindawi Limited 2015-01-01
Series:	The Scientific World Journal
Online Access:	http://dx.doi.org/10.1155/2015/125958

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