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| Extreme Risk Measurement Models of International Oil Market and Backtesting Analysis |
| WANG Peng, LV Yongjian
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Institute of Chinese Finance Studies, Southwestern University of Finance and Economics;
School of Finance, Dongbei University of Finance and Economics |
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Abstract This paper use ES index which can describe the extreme risk of the tail distribution, at the same time, take the time-varying of high order moments volatility model and conventional GARCH models as risk measurement model, make comprehensive comparison of the exact difference between different models in 20 different quantile levels. The main conclusions of this paper include: The accuracy of time-varying higher order moments volatility model was significantly better than constant higher moments volatility model on the measurement of ES and GARCHSK-M model can be used as a relatively rational choice for estimating the ES of international oil market.
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Published: 29 October 2018
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