Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets

This paper investigates whether the best VaR estimate will also perform the best in empirical performance. The study explores the linkage between statistical world and reality. This paper uses VaR GARCH(p,q) estimates and performs the back testing from both generator (buyer) and retailer (seller) si...

Full description

Bibliographic Details
Main Authors: Rangga Handika, Sigit Triandaru
Format: Article
Language:English
Published: EconJournals 2016-12-01
Series:International Journal of Energy Economics and Policy
Subjects:
Online Access:https://dergipark.org.tr/tr/pub/ijeeep/issue/31919/351144?publisher=http-www-cag-edu-tr-ilhan-ozturk