应用半参数法计算石油市场风险价值

To compute the oil market value at risk by applying semi-parametric approach

由于石油价格收益存在厚尾性特征,采用通常的GARCH参数估计风险价值(VaR)会严重低估风险,对此提出了一种半参数方法,实证表明这种半参数方法在99%的置信度下VaR的计算结果大大改善.

Because the oil price return distribution is fat tail, it will underestimate the price change risk if using the usual GARCH model to compute the VaR. By putting forward a semi-parametric approach to solve this problem, the empirical result shows that it is much better than the usual GARCH model under the likelihood of (99?%).