Naslov
Using GARCH volatility forecasting in measuring commodity risk: Case of crude oil futures

Autori
Žiković Saša

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Aktualna financijska problematika - Zbornik radova sa 6. znanstvene konferencije Katedri za financije ekonomskih fakulteta Hrvatske / Srb, Vladimir ; Marković, Branimir - Osijek : Ekonomski fakultet Sveučilišta Josipa Jurja Strossmayera u Osijeku, 2007, 147-155

ISBN
978-953-253-027-8

Skup
6. znanstvena konferencija Katedri za financije ekonomskih fakulteta Hrvatske

Mjesto i datum
Osijek, Hrvatska, 26.04.2007. - 28.04.2007

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Domaća recenzija

Ključne riječi
Commodity risk; Basel II; Forecasting volatility; GARCH

Sažetak
In this paper the author analyses the applicability of measuring risk of an open position in commodities, i.e. crude oil futures by using standard Value at Risk models that are usually used in measuring equity and FX risk. When forming capital requirements, financial institutions can use either standardized methods or advanced internal models, which enables them to hold lower capital requirements, but on the other hand requires research and investment in skilled employees and software solutions. When measuring risks associated with holding open positions in commodities, financial institutions usually use the standardized approach prescribed by the Basel Committee. A poor track record of the Standardised approach and simple approaches to measuring risk has overwhelmingly been proven in the scientific literature. GARCH volatility models provide superior volatility forecasts for commodity prices, and use the existing structure of the data to extrapolate the future values of random variables, which may, for a financial institution, create a competitive advantage. Use of more advanced risk management techniques does not have to be limited only to financial institutions, but can also provide valuable information to other companies, such as oil and mining companies.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA