Abstract This paper estimates a variety of CGARCH and FIGARCH models with normal distribution to capture salient features of Mexico’s Isthmus crude oil return series such as fat tails and volatility clustering as well as asymmetry and long memory; this to obtain independent and identically distributed standardized residuals series. Furthermore, extreme value theory is applied to model the tail behavior of the innovation distribution of the volatility models in estimating one-day-ahead VaR and Expected Shortfall (ES). In- and out-of-sample forecasting performance is evaluated by the unconditional coverage test of Kupiec and the Dynamic Quantile test of Engle and Manganelli. Backtesting results show strong and consistent evidence confirming that FIGARCH-EVT, ACGARCH1-EVT and CGARCH-EVT approaches yield the most accurate out-of-sample VaR and ES forecasts, for both short and long trading positions at quantiles ranging 95% to 99.9%. Findings provide useful tools for producers, consumers and portfolio investors who need sophisticated models for sound risk management and optimal hedging strategies to mitigate price risk exposure for the Isthmus crude oil. Downloads Download data is not yet available. Author Biographies Raúl De Jesús Gutiérrez, Facultad de Economía, Universidad Autónoma del Estado de México, Paseo Universidad, Universitaria, 50130 Toluca de Lerdo, México. Full Time Professor Facultad de Economía. Lidia E. Carvajal Gutiérrez, Facultad de Economía, Universidad Autónoma del Estado de México, Paseo Universidad, Universitaria, 50130 Toluca de Lerdo, México. Full-Time Professor Facultad de Economía Oswaldo Garcia Salgado, Facultad de Economía, Universidad Autónoma del Estado de México, Paseo Universidad, Universitaria, 50130 Toluca de Lerdo, México. Full-Time Professor Facultad de Economía Downloads FULL TEXT Published 2023-07-09 How to Cite Gutiérrez, R. D. J., Gutiérrez, L. E. C., & Salgado, O. G. (2023). Value at Risk and Expected Shortfall Estimation for Mexico’s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches. International Journal of Energy Economics and Policy, 13(4), 467–480. https://doi.org/10.32479/ijeep.14179 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 13 No. 4 (2023) Section Articles License Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication. Make a Submission Make a Submission Dergi Kapağı
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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