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• W2004991837 abstract "This paper utilizes the most flexible skewed generalized t (SGT) distribution for describing petroleum and metal volatilities that are characterized by leptokurtosis and skewness in order to provide better approximations of the reality. The empirical results indicate that the forecasted Value-at-Risk (VaR) obtained using the SGT distribution provides the most accurate out-of-sample forecasts for both the petroleum and metal markets. With regard to the unconditional and conditional coverage tests, the SGT distribution produces the most appropriate VaR estimates in terms of the total number of rejections; this is followed by the nonparametric distribution, generalized error distribution (GED), and finally the normal distribution. Similarly, in the dynamic quantile test, the VaR estimates generated by the SGT and nonparametric distributions perform better than that generated by other distributions. Finally, in the superior predictive test, the SGT distribution has significantly lower capital requirements than the nonparametric distribution for most commodities." @default.
• W2004991837 created "2016-06-24" @default.
• W2004991837 creator A5020939752 @default.
• W2004991837 creator A5075659003 @default.
• W2004991837 date "2011-01-01" @default.
• W2004991837 modified "2023-10-17" @default.
• W2004991837 title "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns" @default.
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• W2004991837 doi "https://doi.org/10.1016/j.jempfin.2010.05.004" @default.
• W2004991837 hasPublicationYear "2011" @default.
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