Managing oil price risk : an objective comparison of VaR modeling techniques
| dc.contributor.author | Costello, Alexandra | |
| dc.contributor.author | University of Lethbridge. Faculty of Management | |
| dc.contributor.supervisor | Asem, Ebenezer | |
| dc.date.accessioned | 2008-02-27T21:29:26Z | |
| dc.date.available | 2008-02-27T21:29:26Z | |
| dc.date.issued | 2006 | |
| dc.description | vi, 57 leaves : ill. ; 29 cm. | en |
| dc.description.abstract | This study empirically examines the performance of the Historical Simulation with ARMA forecast (C&M) methodology developed by Cabedo and Moya (2003b) vis-à-vis the performance of the Semi-Parametric GARCH methodology developed by Barone-Adesi, Giannopoulos, Kostas, and Vosper (1999). Cabedo and Moya (2003b) suggest that their model outperforms a GARCH model. However, they use an empirical distribution to forecast the future risk structure in the C&M model while they impose a normal distribution on the future risk structure in the GARCH model. This study finds that the GARCH model is not outperformed by the C&M model if the future risk structure is estimated by historical simulation as proposed by Barone-Adesi et al. (1999). Consequently, the study finds that Cabedo and Moya’s (2003b) conclusion is mainly driven by the differential in forecasting the future distribution of risk rather than a deficiency in the GARCH model. | en |
| dc.identifier.uri | https://hdl.handle.net/10133/573 | |
| dc.language.iso | en_US | en |
| dc.publisher | Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2006 | en |
| dc.publisher.faculty | Management | en |
| dc.relation.ispartofseries | Project (University of Lethbridge. Faculty of Management) | en |
| dc.subject | Petroleum industry and trade -- Economic aspects | en |
| dc.subject | Petroleum products -- Prices | en |
| dc.subject | Risk | en |
| dc.title | Managing oil price risk : an objective comparison of VaR modeling techniques | en |
| dc.type | Technical Report | en |