Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities
<p>This study examines the out-of-sample value-at-risk forecasting performance of the GARCH, FIGARCH, HYGARCH and FIAPARCH models for West Texas intermediate crude oil, Europe Brent crude oil, heating oil#2, propane and New York Harbour Conventional Gasoline regular under the standard normal,...
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| Format: | Article |
| Language: | English |
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EconJournals
2018-05-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/6329 |