Modeling and Forecasting the Markets Volatility and VaR Dynamics of Commodity

Yıl 2017, Cilt: 11 Sayı: 1, 9 - 49, 01.06.2017

Pınar Kaya Bülent Güloğlu

Öz

The purpose of this paper is to model and forecast the risk of six commodities namely, crude oil, copper, gold, silver, palladium, and platinum during the period from 02/01/2002 to 29/04/2016 using volatility, value at risk and expected shortfall as risk measures. After showing that squared returns of all six commodities have a significant long memory, the volatility, the value at risk and expected shortfall based on fractional GARCH models are estimated and forecasted. Both forecast performance of volatility models and backtest for value at risk indicate that in many cases FIAPARCH model outperforms the other GARCH models. Then volatility, value at risk and expected shortfall estimates based on FIAPARCH model show that the volatility and market risk of oil is much higher than the other commodities. This casts doubt on the use of oil as a hedging tool

Anahtar Kelimeler

Volatility Modelling, Commodity Markets, VaR Forecasting, Expected Shortfall

Emtia Piyasalarının Oynaklık ve Riske Maruz Değer Dinamiklerinin Modellenmesi ve Öngörüsü

Öz

Bu çalışmanın amacı, ham petrol, bakır, altın, gümüş, paladyum ve platinden oluşan altı temel emtiaya ait zaman serisinin 02/01/2002 - 29/04/2016 arasını kapsayan dönemde, oynaklık, riske maruz değer ve beklenen açık risk ölçümlerini kullanarak, emtia piyasalarının riskini modellemek ve öngörmektir. Bu altı emtianın getiri karelerinin önemli ölçüde uzun hafıza özelliğine sahip olduğu gösterildikten sonra oynaklık, riske maruz değer ve beklenen açık, kesirli bütünleşik GARCH modelleri kullanılarak tahmin edilmiş ve öngörülmüştür. Hem oynaklık modellerinin öngörü performansı hem de riske maruz değer için yapılan geri testler birçok durumda FIAPARCH modelinin diğer GARCH modellerinden bariz biçimde üstün olduğunu göstermektedir. FIAPARCH modelini kullanarak yapılan oynaklık, riske maruz değer ve beklenen açık tahmin sonuçları petrolün diğer emtialardan daha riskli olduğunu göstermekte ve petrolün riskten korunma aracı olarak kullanılmasını sorgulanır hale getirmektedir

Anahtar Kelimeler

Oynaklık Öngörüsü, Emtia Piyasaları, VaR Öngörüsü, Beklenen Açık

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