Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model
This paper uses extreme value theory and exponential generalised autoregressive score models to estimate the tail extremes of financial return series. The peak-over-threshold method based on the generalised pareto distribution is combined with the EGAS models and the nonparametric quantile method is...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/1904490 |
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| _version_ | 1832550155039014912 |
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| author | Yueqiang Zhang Guanghui Han Hui Xie Zixing Wang |
| author_facet | Yueqiang Zhang Guanghui Han Hui Xie Zixing Wang |
| author_sort | Yueqiang Zhang |
| collection | DOAJ |
| description | This paper uses extreme value theory and exponential generalised autoregressive score models to estimate the tail extremes of financial return series. The peak-over-threshold method based on the generalised pareto distribution is combined with the EGAS models and the nonparametric quantile method is used to determine the thresholds in the POT method, which is used to calculate the value-at-risk of financial markets and to perform backtesting. The empirical analysis was conducted on the soybean oil, rapeseed oil, and palm oil futures indices in the Chinese futures market. The study demonstrated that the EGAS-POT models based on nonparametric quantile thresholds can effectively characterise tail risk and provide a feasible measure of risk for investors. |
| format | Article |
| id | doaj-art-93e163539fac4f0b8c00ade0a883b439 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-93e163539fac4f0b8c00ade0a883b4392025-02-03T06:07:34ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/1904490Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT ModelYueqiang Zhang0Guanghui Han1Hui Xie2Zixing Wang3School of Management Engineering and BusinessSchool of Management Engineering and BusinessSchool of MarxismFaculty of Social Sciences and LawThis paper uses extreme value theory and exponential generalised autoregressive score models to estimate the tail extremes of financial return series. The peak-over-threshold method based on the generalised pareto distribution is combined with the EGAS models and the nonparametric quantile method is used to determine the thresholds in the POT method, which is used to calculate the value-at-risk of financial markets and to perform backtesting. The empirical analysis was conducted on the soybean oil, rapeseed oil, and palm oil futures indices in the Chinese futures market. The study demonstrated that the EGAS-POT models based on nonparametric quantile thresholds can effectively characterise tail risk and provide a feasible measure of risk for investors.http://dx.doi.org/10.1155/2022/1904490 |
| spellingShingle | Yueqiang Zhang Guanghui Han Hui Xie Zixing Wang Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model Discrete Dynamics in Nature and Society |
| title | Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model |
| title_full | Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model |
| title_fullStr | Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model |
| title_full_unstemmed | Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model |
| title_short | Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model |
| title_sort | tail risk in the chinese vegetable oil market based on the egas evt model |
| url | http://dx.doi.org/10.1155/2022/1904490 |
| work_keys_str_mv | AT yueqiangzhang tailriskinthechinesevegetableoilmarketbasedontheegasevtmodel AT guanghuihan tailriskinthechinesevegetableoilmarketbasedontheegasevtmodel AT huixie tailriskinthechinesevegetableoilmarketbasedontheegasevtmodel AT zixingwang tailriskinthechinesevegetableoilmarketbasedontheegasevtmodel |