Value at Risk and Expected Shortfall Estimation for Mexico’s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches

Value at Risk and Expected Shortfall Estimation for Mexico’s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches

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 stand...

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Bibliographic Details
Main Authors: Raúl De Jesús Gutiérrez, Lidia E. Carvajal Gutiérrez, Oswaldo Garcia Salgado
Format: Article
Language:English
Published: EconJournals 2023-07-01
Series:International Journal of Energy Economics and Policy
Subjects:
Crude Oil, Conditional Extreme Value Theory, Value at Risk and Expected Shortfall, Mexico’s Isthmus Oil
Online Access:http://econjournals.com/index.php/ijeep/article/view/14179

Internet

http://econjournals.com/index.php/ijeep/article/view/14179

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