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

Table 5

Estimated parameters of natural gas portfolio for multivariate Gaussian copula.

	TTFFD	TTFFM	TTFFQ	TTFFS	TTFFY
TTFFD	1.0000	0.5247^**; (0.0146)	0.4945^**; (0.0156)	0.4203^**; (0.0172)	0.3772^**; (0.0178)
TTFFM	0.5247^**; (0.0146)	1.0000	0.6884^**; (0.0098)	0.6780^**; (0.0102)	0.6258^**; (0.0114)
TTFFQ	0.4945^**; (0.0156)	0.6884^**; (0.0098)	1.0000	0.7018^**; (0.0056)	0.6864^**; (0.0099)
TTFFS	0.4203^**; (0.0172)	0.6780^**; (0.0102)	0.7018^**; (0.0056)	1.0000	0.8250^**; (0.0095)
TTFFY	0.3772^**; (0.0178)	0.6258^**; (0.0114)	0.6864^**; (0.0099)	0.8250^**; (0.0095)	1.0000; (0.0095)

Note. ** denotes rejection of the null hypothesis at the 1% and 5% significance levels, respectively.