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Effect of outliers on volatility forecasting and Value at Risk estimation in crude oil markets

机译：离群值对原油市场波动率预测和风险价值估计的影响

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摘要

Crude oil markets are one of the most volatile commodity markets. The effect of shocks on volatility is of concern to policy makers and market participants. A better understanding of how shocks affect volatility over time would be helpful to participants of financial markets. This article investigates effect of outliers in three markets-Brent, West Texas Intermediates (WTI) and Organization of Petroleum Exporting Countries (OPEC). We compare forecasting and Value at Risk (VaR) estimation accuracy of GARCH family models with and without outlier adjustment and conclude that conditional volatility models work better on outlier adjusted data with respect to out-of-sample performance but not necessarily with respect to VaR estimation. Furthermore, we conclude that VaR violations in crude oil markets are independent.
机译：原油市场是最不稳定的商品市场之一。决策者和市场参与者都担心冲击对波动的影响。更好地了解冲击如何随着时间的推移而波动，将有助于金融市场参与者。本文调查了三个市场（布伦特原油，西德克萨斯中质原油（WTI）和石油输出国组织（OPEC））的离群值的影响。我们比较了有和没有进行离群调整的GARCH族模型的预测和风险价值（VaR）估计准确性，并得出结论，条件波动率模型在离样本调整后的性能方面更适合于离群调整后的数据，但不一定在VaR估计方面。此外，我们得出的结论是，原油市场中违反VaR的行为是独立的。

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  • 来源
    《OPEC energy review》 |2016年第3期|276-299|共24页
  • 作者

    Himanshu Sharma; Selvamuthu Dharmaraja;

  • 作者单位

    Department of Mathematics, Indian Institute of Technology Delhi, New Delhi 110016, India;

    Department of Mathematics, Indian Institute of Technology Delhi, New Delhi 110016, India;

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  • 正文语种 eng
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