Risk Spillover Effect between Oil Spot and Futures Price Returns
Due to price volatility in the oil market, market players are exposed to large risks. Value at Risk (VaR) is one of the main methods to measure market risk in various asset markets including commodities.,. In this study, Upside and Downside Risks are estimated by using the GED-GARCH method that is a...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2014-01-01
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| Series: | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| Subjects: | |
| Online Access: | http://jiee.atu.ac.ir/article_682_70822260a228a8a16166474f43c904a0.pdf |
| _version_ | 1797966474704322560 |
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| author | Ahmadreza Jalali Naiini Vahid Ghorbani Pashakolae Mohamad Sayadi |
| author_facet | Ahmadreza Jalali Naiini Vahid Ghorbani Pashakolae Mohamad Sayadi |
| author_sort | Ahmadreza Jalali Naiini |
| collection | DOAJ |
| description | Due to price volatility in the oil market, market players are exposed to large risks. Value at Risk (VaR) is one of the main methods to measure market risk in various asset markets including commodities.,. In this study, Upside and Downside Risks are estimated by using the GED-GARCH method that is appropriate for leptokurtic distributions with fat tail. The daily spot and Futures oil prices data from January 1986 to December 2010 data for "in sample" and from January 2011 to July 2012 for "out of sample" are our data sample. To test the reliability of estimated VaR, the Kupiec test is used. Also by using Granger Causality analysis, the spillover effect risk between spot and futures oil price returns are investigated. Results show that spot and futures returns have leptokurtic distribution with fat tails. There is also a significant upside spillover effect risk from futures to spot price returns at 99% confidence level as for oil price increases during 2000s. |
| first_indexed | 2024-04-11T02:16:08Z |
| format | Article |
| id | doaj.art-69eb3579a66d466ca8faabf21dab53b9 |
| institution | Directory Open Access Journal |
| issn | 2423-5954 |
| language | fas |
| last_indexed | 2024-04-11T02:16:08Z |
| publishDate | 2014-01-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| spelling | doaj.art-69eb3579a66d466ca8faabf21dab53b92023-01-03T01:05:58ZfasAllameh Tabataba'i University PressPizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān2423-59542014-01-01393152Risk Spillover Effect between Oil Spot and Futures Price ReturnsAhmadreza Jalali NaiiniVahid Ghorbani PashakolaeMohamad SayadiDue to price volatility in the oil market, market players are exposed to large risks. Value at Risk (VaR) is one of the main methods to measure market risk in various asset markets including commodities.,. In this study, Upside and Downside Risks are estimated by using the GED-GARCH method that is appropriate for leptokurtic distributions with fat tail. The daily spot and Futures oil prices data from January 1986 to December 2010 data for "in sample" and from January 2011 to July 2012 for "out of sample" are our data sample. To test the reliability of estimated VaR, the Kupiec test is used. Also by using Granger Causality analysis, the spillover effect risk between spot and futures oil price returns are investigated. Results show that spot and futures returns have leptokurtic distribution with fat tails. There is also a significant upside spillover effect risk from futures to spot price returns at 99% confidence level as for oil price increases during 2000s.http://jiee.atu.ac.ir/article_682_70822260a228a8a16166474f43c904a0.pdfValue at Risk; GED-GARCH Model; Upside and Downside Risk Spillover Effect; Kupiec Test del |
| spellingShingle | Ahmadreza Jalali Naiini Vahid Ghorbani Pashakolae Mohamad Sayadi Risk Spillover Effect between Oil Spot and Futures Price Returns Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān Value at Risk; GED-GARCH Model; Upside and Downside Risk Spillover Effect; Kupiec Test del |
| title | Risk Spillover Effect between Oil Spot and Futures Price Returns |
| title_full | Risk Spillover Effect between Oil Spot and Futures Price Returns |
| title_fullStr | Risk Spillover Effect between Oil Spot and Futures Price Returns |
| title_full_unstemmed | Risk Spillover Effect between Oil Spot and Futures Price Returns |
| title_short | Risk Spillover Effect between Oil Spot and Futures Price Returns |
| title_sort | risk spillover effect between oil spot and futures price returns |
| topic | Value at Risk; GED-GARCH Model; Upside and Downside Risk Spillover Effect; Kupiec Test del |
| url | http://jiee.atu.ac.ir/article_682_70822260a228a8a16166474f43c904a0.pdf |
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