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Measuring
the Value at Risk of the Price of OPEC’s Oil Basket through Use of Long-Memory
GARCH Models
Gholamreza
Eslami-Bidgoli, Associate Professor, Faculty of Management, University of Tehran,
gheslamy@ut.ac.ir
Reza
Raiee,Associate Professor, Faculty of Management, University of
Tehran, raei@ut.ac.ir
Sahar Kamalzadeh*,MA Student in Financial Management, University of Tehran, saharkamalzadeh2009@gmail.com
Received: 2012/07/15 Accepted: 2013/05/15
Abstract
In this paper, we evaluate
the performance of parametric models in forecasting the value at risk for the
OPEC basket price. We compute VAR[2]
for 3 Arch/Garch- type models, including FIGARCH, HYGARCH and FIEGARCH for one
day and 10 day periods. These models are estimated for three alternative
distributions, namely: normal, student and skewed student. Our results show
that long-range memory and fat tails are present in the volatility of price
returns of the OPEC basket. Moreover skewed distribution performs better in
predicting one and ten day ahead value at risk. The FIEGARCH model outperforms the other
models in terms of predicting the value at risk for both time frames.
JEL classification: C22،
C13، G32
Keywords: Value at Risk, Long Memory, GARCH Models, OPEC Basket
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