Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

Table 3

Parameter estimation for each natural gas’s residuals.

	TTFFD	TTFFM	TTFFQ	TTFFS	TTFFY
Threshold	−1.2278	−1.0081	−1.0463	−1.0491	−1.0857
	0.0489	0.0588	0.1494	0.2596	0.0817
	0.7085	0.5076	0.4999	0.5140	0.5243
Threshold	1.1688	1.0944	1.1152	1.0989	1.1696
	0.1999	0.3183	0.5386	0.4963	0.2987
	0.5327	0.6823	0.5883	0.5606	0.6718