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محاسبهی ارزش در معرض خطر قیمت سبد نفتی اوپک با استفاده از مدلهای حافظهی بلندمدت گارچ
Measuring the Value at Risk of the Price of OPEC’s Oil Basket through Use of Long-Memory GARCH Models
اقتصاد انرژي
Energy Economic
پژوهشي
Research
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<p dir="rtl" class="02"><font face="wingdings" size="3"><b>محاسبهی ارزش
در معرض خطر قیمت سبد نفتی اوپک با استفاده از مدلهای حافظهی بلندمدت گارچ</b></font></p>
<p style="text-align: center direction: rtl unicode-bidi: embed" dir="rtl" class="04"><b><span lang="FA" style="font-size: 10pt font-family: "B Nazanin"">غلامرضا
اسلامی بیدگلی</span></b></p>
<p style="text-align: center direction: rtl unicode-bidi: embed" dir="rtl" class="04"><span lang="FA" style="font-size: 10pt font-family: "B Nazanin"">دانشیار
دانشکدهی مدیریت دانشگاه تهران<span> </span></span><span dir="ltr">gheslamy@ut.ac.ir</span><span lang="FA" style="font-size: 10pt font-family: "B Nazanin""></span></p>
<p dir="rtl" class="03"><font size="4"><b><span lang="FA" style="font-family: "B Nazanin"">رضا راعی</span></b></font></p>
<p style="text-align: center direction: rtl unicode-bidi: embed" dir="rtl" class="04"><span lang="FA" style="font-size: 10pt font-family: "B Nazanin"">دانشیار
دانشکدهی مدیریت دانشگاه تهران<span> </span></span><span dir="ltr">raei@ut.ac.ir</span><span lang="FA" style="font-size: 10pt font-family: "B Nazanin""></span></p>
<p dir="rtl" class="03"><b><span lang="FA" style="font-family: "B Nazanin"">سحر کمال زاده</span><a name="_ftnref1" href="#_ftn1"><span class="MsoFootnoteReference"><span lang="FA" style="font-size: 1pt font-family: "B Zar""><span dir="ltr"><span class="MsoFootnoteReference"><span><span style="font-size: 1pt">[1]</span></span></span></span></span></span></a><sup><span lang="FA" style="font-family: "B Nazanin"">*</span></sup></b></p>
<p style="text-align: center direction: rtl unicode-bidi: embed" dir="rtl" class="04"><span lang="FA" style="font-size: 10pt font-family: "B Nazanin"">دانشجوی
کارشناسی ارشد مدیریت مالی، دانشکدهی مدیریت دانشگاه تهران </span><span dir="ltr">saharkamalzadeh2009@gmail.com</span><span lang="FA" style="font-size: 10pt font-family: "B Nazanin""></span></p>
<p dir="rtl" class="05"><span lang="FA" style="font-family: "B Nazanin"">تاریخ دریافت:
25/04/91<span> </span><span> </span>تاریخ پذیرش: 25/02/92</span></p>
<h1 dir="rtl"><span lang="FA" style="font-size: 13pt font-family: "B Nazanin"">چکیده</span></h1>
<p dir="rtl" class="a"><span lang="FA" style="font-size: 12pt font-family: "B Nazanin"">در این تحقیق عملکرد روش پارامتریک در پیش بینی
مقادیر ارزش در معرض خطر در قیمت سبد نفتی اوپک مورد بررسی قرار میگیرد. برای این
منظور، پس از محاسبهی مقادیر ارزش در معرض خطر یک روزه و ده روزه با استفاده از
برخی مدلهای خانواده حافظهی بلندمدت گارچ مانند </span><span lang="EN-GB" dir="ltr">FIGARCH</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span>، </span><span lang="EN-GB" dir="ltr">HYGARCH</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span> و </span><span lang="EN-GB" dir="ltr">FIEGARCH</span><span dir="rtl"></span><span dir="rtl"></span><span lang="EN-GB" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span> </span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin"">بر
روی سه توزیع آماری نرمال،</span><span dir="ltr"></span><span dir="ltr"></span><span lang="EN-GB" dir="ltr"><span dir="ltr"></span><span dir="ltr"></span> -t </span><span dir="rtl"></span><span dir="rtl"></span><span lang="EN-GB" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span><span> </span></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin"">استیودنت
و </span><span lang="EN-GB" dir="ltr">t</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span> استیودنت چوله، نتایج بهدست آمده با
استفاده از آزمونهای کوپیک و صدک پویا، در سطوح اطمینان پایین و بالا مورد
مقایسه و تحلیل قرار میگیرند. نتایج بهدست آمده نشان میدهند که دنبالهی پهن و
خاصیت حافظهی بلندمدت در نوسانات بازدهی قیمت در سبد نفتی اوپک وجود دارد، پیشبینی
مقادیر ارزش در معرض خطر یک روزه و ده روزه با استفاده از توزیع چوله از دقت و
عملکرد بالاتری برخوردار است. و در نهایت، مدل </span><span lang="EN-GB" dir="ltr">FIEGARCH
</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span><span> </span>در پیشبینی
ارزش در معرض خطر در هر دو بازهی 1 و 10 روزه بهتر از سایر مدلها عمل میکند.</span></p>
<p dir="rtl" class="a"><b><span lang="FA" style="font-size: 12pt font-family: "B Nazanin"">طبقهبندی </span></b><b><span lang="EN-GB" dir="ltr">JEL</span></b><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span>: </span><span lang="EN-GB" dir="ltr">C22</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span>، </span><span lang="EN-GB" dir="ltr">C13</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""><span dir="rtl"></span><span dir="rtl"></span>، </span><span lang="EN-GB" dir="ltr">G32</span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin""></span></p>
<p dir="rtl" class="a"><b><span lang="FA" style="font-size: 12pt font-family: "B Nazanin"">کلید واژه: </span></b><span lang="FA" style="font-size: 12pt font-family: "B Nazanin"">ارزش
در معرض خطر، حافظهی بلندمدت، مدلهای گارچ، سبد نفتی اوپک</span><span lang="FA" style="font-size: 12pt font-family: "B Zar""></span></p>
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<p dir="rtl" class="MsoFootnoteText"><a name="_ftn1" href="#_ftnref1"></a><span dir="rtl"></span><span class="MsoFootnoteReference"><span lang="AR-SA" style="font-size: 10pt"><span dir="rtl"></span>*- نویسندهی مسئول </span></span><span class="MsoFootnoteReference"><span lang="FA" style="font-size: 10pt"></span></span></p>
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<p style="text-align: center direction: ltr unicode-bidi: embed" class="02"><font size="4"><b>Measuring
the Value at Risk of the Price of OPEC’s Oil Basket through Use of Long-Memory
GARCH Models</b></font></p>
<p class="04">Gholamreza
Eslami-Bidgoli, Associate Professor, Faculty of Management, University of Tehran,
gheslamy<span>@ut.ac.ir</span></p>
<p align="center" style="margin-left: 18pt text-align: center direction: ltr unicode-bidi: embed" class="MsoNormal">Reza
Raiee,<b><span style="font-size: 8pt font-family: "Times New Roman","serif"">Associate Professor, Faculty of Management, University of
Tehran,</span></b><span class="04Char"><span style="font-size: 8pt font-family: "Times","serif""> raei@ut.ac.ir</span></span><sup><span style="font-size: 13pt"></span></sup></p>
<p class="04">Sahar Kamalzadeh<a name="_ftnref1" href="#_ftn1"><span class="MsoFootnoteReference"><span style="font-size: 1pt font-weight: normal"><span><span class="MsoFootnoteReference"><span style="font-size: 1pt">[1]</span></span></span></span></span></a>*,MA Student in Financial Management, University of Tehran,<span style="font-weight: normal"> </span>saharkamalzadeh2009@gmail.com</p>
<p style="margin: 0cm 0cm 0.0001pt 34pt text-align: center direction: ltr unicode-bidi: embed" class="05">Received: 2012/07/15<span> </span><span> </span>Accepted: 2013/05/15</p>
<p align="center" style="text-align: center direction: ltr unicode-bidi: embed" class="MsoNormal"><b><span style="font-size: 18pt font-family: "Times New Roman","serif""> </span></b></p>
<h1 style="text-align: justify direction: ltr unicode-bidi: embed">Abstract</h1>
<p style="text-align: justify direction: ltr unicode-bidi: embed" class="a"><span lang="EN-GB">In this paper, we evaluate
the performance of parametric models in forecasting the value at risk for the
OPEC basket price. We compute VAR<a name="_ftnref2" href="#_ftn2"><span><span lang="EN-GB" style="font-size: 10pt font-family: "Times New Roman","serif"">[2]</span></span></a>
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. <span> </span>The FIEGARCH model outperforms the other
models in terms of predicting the value at risk for both time frames.</span></p>
<p style="text-align: justify direction: ltr unicode-bidi: embed" class="a"><b><span lang="EN-GB">JEL classification</span></b><span lang="EN-GB">: </span><span lang="EN-GB">C22</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" dir="rtl"><span dir="rtl"></span><span dir="rtl"></span>،
</span><span lang="EN-GB">C13</span><span dir="rtl"></span><span dir="rtl"></span><span lang="FA" dir="rtl"><span dir="rtl"></span><span dir="rtl"></span>، </span><span lang="EN-GB">G32</span><span lang="EN-GB"></span></p>
<p style="text-align: justify direction: ltr unicode-bidi: embed" class="a"><b><span lang="EN-GB">Keywords</span></b><span lang="EN-GB">: Value at Risk, Long Memory, GARCH Models, OPEC Basket</span><span lang="FA" style="font-size: 12pt font-family: "B Nazanin"" dir="rtl"></span></p>
<span style="font-size: 11pt font-family: "Times","serif""><br clear="all" style="page-break-before: always" >
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Author</span><span style="font-size: 11pt font-family: "Times New Roman","serif""></span></p>
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ارزش در معرض خطر, حافظهی بلندمدت, مدلهای گارچ, سبد نفتی اوپک
Value at Risk, Long Memory, GARCH Models, OPEC Basket
1
19
http://iiesj.ir/browse.php?a_code=A-10-1-3&slc_lang=fa&sid=1
S.
Kamalzadeh
سحر
کمال زاده
1003194753284600968
1003194753284600968
Yes
MA Student in Financial Management, University of Tehran
Gholamreza
Eslami-Bidgoli
غلامرضا
اسلامی بیدگلی
1003194753284600969
1003194753284600969
No
رضا
راعی
1003194753284600970
1003194753284600970
No