Research Article
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 |
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