Abstract

GUTIERREZ, Raúl de-Jesús; GARCIA SALGADO, Oswaldo  and  RODRIGUEZ PICHARDO, Oscar Manuel. Asymmetry, Long Memory and Extreme Values in the Tail Risk Management of the Maya Crude Oil Prices. Anál. econ. [online]. 2021, vol.36, n.93, pp.81-98.  Epub Nov 16, 2021. ISSN 2448-6655.  https://doi.org/10.24275/uam/azc/dcsh/ae/2021v36n93/de-jesus.

This paper aims to combine the extreme value theory and CGARCH models to capture the long-term asymmetry effects and long memory in volatility and to improve the estimation of tail risk for Maya crude oil. The results of the backtesting confirm the forecasting ability of the symmetric and asymmetric CGARCH-EVT approaches for the estimation of dynamic VaR even though risk measures based on the GARCH-EVT family approaches provide also a better out of sample performance. The findings have important implications for crude oil market participants as they allow them to improve risk management and design optimal hedging strategies to reduce exposure to price risk of producers and consumers.

Keywords : Crude oil; Conditional extreme value theory; VaR models; C22; C52; G13; Q40.