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

Table 8

Optimal investment proportion of natural gas portfolio with minimum risk.

Copula	Confidence level	VaR	Corresponding CVaR	Optimal coefficients
				TTFFD	TTFFM	TTFFQ	TTFFS	TTFFY
Normal copula	0.90	0.0130	0.0154	0.0001	0.2499	0.2500	0.2500	0.2500
	0.95	0.0169	0.0189	0.0001	0.2498	0.2500	0.2500	0.2500
	0.99	0.0260	0.0274	0.0158	0.2389	0.2453	0.2450	0.2500
Student -copula	0.90	0.0126	0.0159	0.0001	0.2498	0.2499	0.2501	0.2500
	0.95	0.0171	0.0195	0.0001	0.2499	0.2499	0.2501	0.2500
	0.99	0.0280	0.0287	0.0064	0.2468	0.2480	0.2492	0.2496