Premium
Stochastic multifactor models in risk management of energy futures
Author(s) -
Guo ZiYi
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22154
Subject(s) - futures contract , heating oil , value at risk , econometrics , brent crude , west texas intermediate , crude oil , sample (material) , economics , goodness of fit , risk management , expected shortfall , gasoline , actuarial science , financial economics , statistics , mathematics , engineering , petroleum engineering , finance , chemistry , chromatography , waste management
We adopt Schwartz and Smith's model to calculate risk measures of Brent oil and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion, and Serna's model to calculate risk measures of natural gas, gasoil, heating oil, RBOB gasoline, PJM Western Hub peak, and off‐peak electricity futures contracts. The models generate well in‐sample goodness of fit and satisfactory out‐of‐sample Value‐at‐Risk and expected shortfall forecasts for all the eight of the analyzed commodities. A simple and flexible estimation method improving upon existing estimation methods is developed.