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Energy Futures

Robert Trevor Samuel III∗ 2 October 2012†

Abstract We estimate Value-at-Risk (VaR) statistics using parametric, non-parametric, and Extreme Value Theory (EVT) based techniques on the logarithmic price changes for continuous futures prices of Crude Oil, Natural Gas and Heating Oil from the New York Mercantile Exchange (NYMEX). Our results illustrate that the VaR conﬁdence level, α, matters along with the amount of data used (’window size’) but overall ﬁnds poor results for all ﬁve methods of VaR tested with some positive results for speciﬁc parameterizations of a few methods.

∗ †

Master’s Candidate, Clemson University. Correspondence: rtsamue@clemson.edu revised; ﬁrst edition: 7 September 2012; second edition: 28 September 2012

1

Introduction

Until Markowitz (1952) people rarely considered risk when making investment or portfolio allocation decisions. Investments were made in isolation and the portfolio allocation decision was merely to arbitrarily specify portfolio weights for the disparate investments. Markowitz in his seminal work demonstrated that there existed an optimal boundary when looking at the aggregate portfolio’s expected return versus its expected risk. Any combination of expected returns and risk that was not on this optimal boundary was sub-optimal. The objective then became one of deﬁning risk and solving for the optimal combination using linear optimization technique(s). Markowitz used the standard deviation of returns as his measure of risk but alluded to the fact that there may be better measurements of risk. In Markowitz (1959) he recommended the use of semi-variance which only uses deviations below the mean return. The assumption is that long-only investors are only concerned with downside deviations from the mean. In fact, they would favor right-skewed distributions and large deviations above the mean; and since standard deviation does not distinguish between upside and downside deviations it therefore may not be an accurate reﬂection of risk. Fishburn (1977) advocated the usage of diﬀering forms of risk/return utility depending on where an observation occurred within a distribution of returns. In addition, he questioned the a priori assumption that semi-variance is the best model and showed that there is a general class of models, the α − t models, that are dominant and align with an investors risk/return utility as articulated within the Von Neumann & Morgenstern framework. Nawrocki (1991) extended upon Fishburn (1977) and investigated the performance of lower partial moment (LPM) estimators of risk. In their study they can not say that LPM is superior to traditional covariance analysis as articulated by Markowitz but can say that LPMs are part of the second-degree stochastic-dominance eﬃcient set. During the same time period as these authors others were rephrasing the question by asking whether it was the distribution below the mean that mattered or maybe that extreme 1

values are what matters in regards to risk. Davison & Smith (1990) provided a review of models using Extreme Value Theory (EVT) by analyzing the limit distribution of extreme values as ﬁrst proposed by Fisher & Tippett (1928). They found that the Generalized Extreme Value (GEV) distribution provided an excellent framework for analyzing the extreme values of a distribution. Others began to use these models with ﬁnancial data and found that the GEV distribution had strong explanatory power when looking at extreme logarithmic prices changes. Speciﬁcally related to the analysis in this paper Edwards & Netfci (1988) and Longin (1999) looked at GEV models in regards to logarithmic price changes with commodity futures. Their analyses was related to counter-party risk and the optimal margin level but they demonstrated that EVT provided an appropriate framework for looking at extreme prices changes in the futures markets. More recently Gabaix et al (2006) found empirical evidence to support power law distributions, of the same family as GEV, as deﬁning distributions for price returns of stocks. However, although GEV distributions may provide strong explanatory power for extreme price changes what is needed is a general framework for looking at risk and for that we turn to Value at Risk.

2

Value at Risk

Value at Risk (VaR) is concerned with quantifying the largest expected loss over a speciﬁed time period for a speciﬁed level of conﬁdence. Formally, let rt = ln(pt /pt−1 ) be the logarithmic change in price at time t then VaR is deﬁned as

P r(rt ≤ V aRt (α)) = α

(1)

where the objective becomes ﬁnding some F where F −1 (α) = V aRt (α). Jorion (1996) proposed, amongst others, to simply use the sample standard deviation and the standard

2

Normal CDF, Φ. In that context VaR becomes

V aRt (α) = Φ−1 (α)σ + µ

(2)

where σ is the standard deviation and µ is the mean associated with rt . Jorion (1997) addressed some of the issues of determining VaR such as the assumption of normality in regards to ﬁnancial returns data and the estimation error associated when using sample quantile methods. In addition he cautioned against the dependence of deﬁning risk with a single estimator even though the ﬁnancial industry was rapidly embracing VaR out of necessity and regulation (I.e. Basel banking accords). Lastly he suggested the usage of kernel density estimation when the ﬁnancial returns data is ’suspected to be strongly nonnormal.’ More recently others have advocated using EVT so as to estimate F within the VaR framework. Neftci (2000) found that using EVT yielded much better out-of-sample results versus traditional VaR estimates when examining interest rate and foreign exchange data. Their methodology, which is similar to what we will propose, is to count the number of observations that exceed a VaR estimate at time t for a speciﬁed period of time. Over the two year period of 1997-1998 they ﬁnd that across all data sets that EVT-based VaR methods have a proportion of exceedences that is closer to the stated level of VaR than compared to standard VaR as deﬁned in (2). Gencay & Selcuk (2004) examine EVT-based VaR methods in conjunction with emerging markets stock market indices and found that EVT-based methods oﬀer better estimation for out-of-sample VaR. Speciﬁcally due to the heavy-tailed distributions in emerging markets, because of their associated ﬁnancial crises, EVT-based methods are better at estimating VaR especially for lower levels of α. Krehbiel & Adkins (2005) look at EVT-based methods for VaR dealing with commodity futures on the NYMEX. They ﬁnd the best success with conditional-dependence EVT methods versus Exponentially Weighted Moving Average (EWMA) and Autoregressive-General Autoregressive Conditional Hetereoskedascity [AR(1)-GARCH(1,1)] methods for the time

3

period analyzed. However, they acknowledge that noise can adversely impact the results and that the selection of the threshold parameter for Peaks Over Threshold (POT) EVT methods requires more research. Iglesias (2012) studied EVT-based VaR methods with exchange rates and ﬁnds that they oﬀer strong explanatory power but there exists varying results in regards to the type of EVT method used: for some exchange rates EVT-based methods that take into account the presence of GARCH eﬀects in the data oﬀer better results.

3

Data

We look at daily logarithmic price changes in three continuous contract1 commodity futures listed on the New York Mercantile Exchange (NYMEX): Crude Oil (CL), Natural Gas (NG) and Heating Oil (HO)2 . All data used is provided by Norgate Investor Services3 and Table 1 contains descriptive statistics for the three data series analyzed. All series are decidedly non-normal with all series failing the Jarque-Bera test’s null hypothesis of normal skew and kurtosis using standard conﬁdence levels. In addition Natural Gas is the only series with both a negative mean logarithmic return and positive skew. Figures 1, 2 and 3 display the disparate log price changes and it is discernible the heavy-tailed nature of the series. Natural Gas shows an increase in dispersion in the latter part of the series which is a function of the deregulation of the markets in the United States. Other obvious periods of variability would be the First Gulf War in 1991, global ﬁnancial crisis of 2007-2009 and the ’Arab Spring’ of 2011-2012 for Crude Oil and Heating Oil. Yang (1978) ﬁrst proposed the usage of the Mean Excess (ME) function and Davison & Smith (1990) used a ME plot to visually determine whether the data conforms to a

A continuous contract is a construct performed by aggregating multiple time series sequences together but then removing gaps that occur due to the fact that commodity future contracts with diﬀering maturities will trade at diﬀerent price levels. An overview can be found at: http://www.premiumdata.net/support/futurescontinuous.php. 2 It should be noted that all futures analyzed have daily price limits such that on certain unspeciﬁed days prices may reach their daily limits which in turn truncates the data. 3 http://www.premiumdata.net/

1

4

Generalized Pareto Distribution (GPD). Given an independent and identically distributed data sample then the ME function is deﬁned as

n i=1 (Xi − µ)I[Xi > n i=1 I[Xi > µ]

ˆ M (µ) =

µ]

,

µ≥0

(3)

where µ is a speciﬁed threshold value. These function values can be plotted against a range of µ to determine an appropriate threshold level and whether a series is suited for EVT analysis (see Ghosh $ Resnick (2010) for an overview of ME plots). Figures 4, 5 and 6 show ME plots for the respective commodity futures and were generated using the evir package in R. In all of the plots we can clearly see a linear trend as the threshold values become more negative which is an indication of a distribution that ﬁts within the EVT framework. Hill (1975) oﬀered a non-parametric approach to GEV distributions with his Hill estimator. Deﬁne the Hill estimator as ˆ 1 ξ= k

k

lnXj,n − lnXk,n

i=j 1 ˆ ξ

(4) is called

where the data are ordered such that X1,n ≥ X2,n ≥ X3,n , . . . , ≥ Xn,n then α = ˆ

the tail index statistic. Again using evir package in R we create plots of α for varying ˆ order statistics, and their corresponding values, using the negative value for each element of a series: this is done since by deﬁnition the Hill estimator deals with maxima and for the purposes of our analysis we are only considering negative extremals which means we use the negative of the returns, rt = −rt , for our analysis. Figures 7, 8 and 9 show the respective Hill plots for each series. In each we can clearly see that the standard error of the estimate is a function of the order statistic selected with the conﬁdence intervals narrowing as the order statistic gets smaller in value.

5

Crude Oil (CL) T 7364 Mean 0.0001 Median 0.0002 Maximum 0.089 Minimum -0.1343 Std. Dev. 0.01 Skewness -0.5822 Kurtosis 12.0376 Jarque-Bera 44810 Augmented Dickey-Fuller -17.5707

Heating Oil (HO) 8211 0.0002 0.0002 0.1062 -0.213 0.0136 -0.5136 12.2362 51517 -18.5048

Natural Gas (NG) 5597 -0.0004 -0.0001 0.1305 -0.0825 0.0109 0.1555 10.4824 25596 -17.7102

Table 1: Descriptive statistics of daily continuous futures contract logarithmic price changes. Time periods: Crude Oil, 4/15/1983 - 8/10/2012; Heating Oil, 11/26/1979 8/10/2012; and Natural Gas, 4/17/1990 - 8/10/2012.

4

VaR Models

For the purposes of our analysis we select ﬁve diﬀerent implementations of Value at Risk. The intent is to illustrate some of the implementation issues arising from estimating VaR and to contrast the eﬀectiveness of diﬀerent types of techniques (I.e. parametric vs. nonparametric).

4.1

Value at Risk - Hill Estimator (V aRH )

The limiting distribution of a Fr´chet, Weibull or Gumbel distribution is the GEV and is e represented as Gξ (x) = exp(−(1 + ξx)− 1 ) if ξ = 0 ξ exp(−e−x ) where where ξ =

1 α

(5)

if ξ = 0

1 for the Fr´chet distribution, ξ = − α for the Weibull distribution and e

ξ = 0 for the Gumbel distribution. The two primary techniques for the estimation for GEV is the block maxima approach and the peaks over threshold (POT) approach. The POT approach uses EVT but uses extreme observations exceeding a ’high’ threshold. As such more information is used from the entire data set versus the block maxima approach which

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only uses the maximum from each block of a speciﬁed dimension. Speciﬁcally, if we let x0 be the inﬁnite end-point of a distribution then the distribution of the excesses over a threshold µ is Fµ (x) = P [X − µ ≤ x|X > µ] = F (x + µ) − F (µ) 1 − F (µ) (6)

**for any 0 ≤ x < x0 −µ. Within the POT framework the Hill estimation method of ξ becomes 1 ˆ ξ= Tu
**

Tu

ln(rj ) − ln(µ),

i=j

where µ ≥ 0

(7)

where µ is an arbitrary threshold, Tu is the number of observations exceeding the threshold and rt = −rt . For our analysis we use the inverse of sample quantile function with a speciﬁed value of α to ﬁnd the appropriate µ. Then if we recognize that 1 − Fµ (x) = estimate becomes V aR(α)H = −exp(−ξ[ln(α where T is the total number of observations. T + ln(µ)]) Tu (8)

Tu T

then our VaR

4.2

Value at Risk - Historical Simulation (V aRHS )

Jorion motivated the usage of Historical Simulation method of VaR by demonstrating that in most cases the distribution of ﬁnancial data is both non-normal and unknown. In those cases he advocated using the inverse of the sample quantile function such that VaR was deﬁned as V aRHS (α) = F −1 (α) (9)

where we look at the left tail of the distribution in lieu of taking the negative value of the right tail observations.

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4.3

Value at Risk (V aRP )

Jorion (1996) along with others laid the groundwork for the traditional implementation of VaR which assumes a normal distribution such that our estimate of VaR is

V aRP (α) = Φ−1 (α)σ + µ

(10)

where Φ is the standard Normal CDF and where we use the sample standard deviation, s, and sample mean, x, as our estimates for the distribution parameters. ¯

4.4

Value at Risk - Kernel Density (V aRK )

We can expand upon the strengths of nonparametric VaR by looking at alternative methods of estimating F . Li & Racine (2007) provide an excellent overview of kernel density estimation techniques of F . In particular, let h be a bandwidth size that determines the amount of smoothness then we are interested in estimating the leave-one-out kernel density estimator

n j=i

ˆ F−i (x) =

x −∞

G( x−Xj ) h (n − 1)

(11)

where G(x) =

k(v)dv is the CDF for a speciﬁed kernel k(· ). For our analysis we select

the Epanechnikov kernel which we deﬁne as 3 k(u) = (1 − u2 )I[|u| ≤ 1] 4 which then leads to our estimate of VaR as

(12)

ˆ −1 V aRK (α) = F−i (α)

(13)

where we use the quantile function within the BMS package of R for our estimate of the ˆ ˆ inverse CDF given our estimate of f−i (x), the PDF associated with F−i (x). 8

4.5

Value at Risk - Cornish-Fisher (V aRCF )

Early in the development of VaR it was noted the restrictive and implausible assumptions of normality in regards to ﬁnancial data. Mandelbrot (1963) noted that cotton futures prices did not exhibit normality but a heavy-tail behavior in regards to their price changes and Fallon (1996) provided a derivation for VaR called ’Modiﬁed VaR’ that uses an expansion series as proposed by Cornish & Fisher (1938) which in turn uses the ﬁrst four moments of a distribution. In that case, the Cornish-Fisher expansion is an expansion of the normal density function with a inverse CDF of K g1 −1 [(φ (1 − α))2 − 1] + [(φ−1 (1 − α))3 − 3φ−1 (1 − α)]} (14) 3! 4!

−1 FCF (α) = φ−1 (1 − α){1 +

where g1 is the sample skewness and K is the sample kurtosis. Given this expansion of the normal density function our VaR becomes

−1 V aRCF (α) = FCF (α)σ + µ

(15)

where again we use the sample estimates for σ and µ respectively.

5

Evaluation of Models

As VaR is a risk statistic, we are concerned with its eﬃciency in helping investors avoid excessive losses which we deﬁne as large negative returns. In that case we perform backtesting analysis of the VaR estimates for negative returns borrowing upon the work by Krehbiel & Adkins (2005) and Gencay & Selcuk (2004) on the three commodity futures listed in Table 1. In that case we deﬁne a window size, denoted as m, and perform a ’rolling’ analysis by calculating all ﬁve VaR statistics for the period from t − (m + 1) through t − 1 repeating that process until we reach T , the terminal observation. For each time t we compare the V aRt−1 statistic against the observed rt so as to calculate the number of exceptions a which 9

is deﬁned as

T

aj =

t=m+1

I[rt < V aRj,t−1 ]

(16)

where j is an index representing each of the ﬁve VaR methods tested. Since a follows a binomial distribution our test statistic becomes aj − α(T − m) α(1 − α)(T − m)

zj =

(17)

where α is a speciﬁed conﬁdence level for VaR and is the same for all j for every window size m analyzed. For window sizes Krehbiel & Adkins (2005) looked at m = 1000 and Gencay & Selcuk (2004) looked at m = {500, 1000, 1500}. However we want to test whether the window size has any inﬂuence on the performance of the disparate VaR models and therefore we test the following window size ranges: m ∈ [950, 1050], m ∈ [450, 550] and m ∈ [60, 120]. For our VaR conﬁdence levels we look at α = {0.01, 0.05} as as these are the widely used levels within published research. In regards to V aRCF , Cavenaile & Lejeune (2012) show that α = 0.05 leads inconsistent investor preferences for a risk statistic but we continue to evaluate due to its prevalence in the literature. Lastly, in regards to the V aRH method we select as our quantile level 0.1 which represents 10% of the data for each rolling window. This level is strictly arbitrary and would warrant further research so as to determine whether this level has any impact on the performance of the V aRH model. Given this analytical framework, we are interested in testing the hypothesis H0 : α = α0 Ha : α = α0 where α0 = {0.01, 0.05} are the VaR conﬁdence levels we intend to test and where αj = ˆ

aj T −m

(18)

10

is our test statistic. Then let us deﬁne a p-value as 2 − 2Φ(|z|) if H : α = α ˆj a 1 − Φ(|z|) else

p − value(z) =

(19)

where Φ is the standard Normal CDF. We then use the p-value to reject or fail-to-reject our null hypothesis as stated in (18) by comparing its value to oft-used hypothesis conﬁdence levels {0.01, 0.05, 0.1}. Tables 2, 3 and 4 list summary statistics of p-values for speciﬁed ranges of our window size, m, for Crude Oil (CL), Heating Oil (HO) and Natural Gas (NG) respectively. We see that for all three commodity futures that both the α level used and the window size have a signiﬁcant impact on p-values for all ﬁve VaR models. Namely we see that α = 0.05 is the best VaR conﬁdence level for all three commodities and that smaller window sizes are better as well. In contrast, Gencay & Selcuk (2004) found that for GEVbased VaR that the performance was superior for lower levels of α which is not supported by our results. In addition, Krehbiel & Adkins (2005) found diﬀerent results with similar VaR methods but their time period only went through 2003 and did not include some of the recent extreme variability found in energy futures prices due to geopolitical and regulatory changes.

6

Conclusions and Future Work

Overall we ﬁnd that most of our p-values reject the hypothesis stated in (18) for most VaR methods, using oft-used hypothesis test conﬁdence levels, but that V aRK and V aRCF perform better when using shorter window sizes and with α = 0.05. However our research does illustrate that the speciﬁed α level matters in regards to performance, but also as importantly, that the window size m has an impact on the results. It may be that given some of the heterogeneity in our data we should test methods that utilize a GARCH framework as they will oﬀer a ﬂexibility deemed necessary by some the change in variance exhibited by 11

our data. In addition due to ’limit’ price movements, which in turn truncate the data, there may be unusual behavior at the tails of the return distribution(s). Lastly, we only look at left-tail VaR but investors may be interested in VaR estimation issues for short positions (I.e. right-tail VaR). Both Krehbiel & Adkins (2005) and Gencay & Selcuk (2004) found diﬀering results for either tail for the VaR methods tested. This would warrant further analysis to see whether the results we see for left-tail VaR holds for right-tail VaR as well.

References

[1] Cavenaile, L. and Lejeune, T. (2012) ’A Note on the use of Modiﬁed Value-at-Risk’, Journal of Alternative Investments 14(4), 79-83 [2] Cornish, E. and Fisher, R. (1938) ’Moments and Cumulants in the Speciﬁcation of Distributions’, Review of the International Statistical Institute 5(4), 307-320 [3] Davison, A. and Smith, R. (1990) ’Models for Exceedances over High Thresholds’, Journal of the Royal Statistical Society: Series B 52(3), 393-442 [4] Edwards, F and Neftci, S (1988) ’Extreme Price Movements and Margin Levels in Futures Markets’, Journal of Futures Markets 8(6), 639-655 [5] Fallon, W. (1996) ’Calculating Value-at-Risk’, Working Paper, The Wharton School [6] Fishburn, P. (1977) ’Mean-Risk Analysis with Risk Associated with Below-Target Returns’, The American Economic Review 67(2), 116-126 [7] Fisher, R and Tippett, L (1928) ’Limiting forms of the frequency distributions of the largest or smallest member of a sample’, Proceeding of the Cambridge Philosophical Society 24, 180-190 [8] Gabaix, X., Gopikrishnan, P., Plerou, V., and Stanley, H. (2006) ’Institutional Investors and Stock Market Volatility’, Quarterly Journal of Economics May 2006 12

[9] Gencay, R. and Selcuk, F. (2004) ’Extreme value theory and Value-at-Risk: Relative performance in emerging markets’ International Journal of Forecasting 20, 287-303 [10] Ghosh, S. and Resnick, R. (2010) ’A discussion on mean excess plots’ Stochastic Processes and their Applications 120, 1492-1517 [11] Hill, B. (1975) ’A Simple General Approach to Inference About the Tail of a Distribution’ The Annals of Statistics 3(5), 1163-1174 [12] Iglesias, E. (2012) ’An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market’, Applied Economics 44, 4631-4637 [13] Jorion, P. (1996) ’Risk 2 : Measuring the Risk in Value-At-Risk’, Financial Analysts Journal 52(6), 47-56 [14] Jorion, P. (1997) Value at Risk: The New Benchmark for Controlling Derivatives Risk [15] Krehbiel, T. and Adkins, L. (2005) ’Price Risk in the NYMEX Energy Complex: An Extreme Value Approach’ Journal of Futures Markets 25(4), 309-337 [16] Li, Q. and Racine, J. (2007) Nonparametric Econometrics [17] Longin, F (1999) ’Optimal Margin Level in Futures Markets: Extreme Price Movements’ Journal of Futures Markets 19(2), 127-152 [18] Mandelbrot, B. (1963) ’The Variation of Certain Speculative Prices’, Journal of Business 36, 394-419 [19] Markowitz, H. (1952) ’Portfolio Selection’, Journal of Finance 7(1), 77-91 [20] Markowitz, H. (1959) Portfolio Selection: Eﬃcient Diversiﬁcation of Investments [21] Nawrocki, D. (1991) ’Optimal algorithms and lower partial moment: ex post results’, Applied Economics 23, 465-470

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[22] Neftci, S. (2000) ’Value at risk calculations, extreme events, and tail estimators’, Journal of Derivatives 7(3), 23-37 [23] Yang, G. (1978) ’Estimation of a Biometric Function’ The Annals of Statistics 6(1), 112-116

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Figure 1: Daily logarithmic price changes for Crude Oil (CL)

Figure 2: Daily logarithmic price changes for Heating Oil (HO)

Figure 3: Daily logarithmic price changes for Natural Gas (NG)

15

Figure 4: Mean Excess Plot for Crude Oil (CL)

Figure 5: Mean Excess Plot for Heating Oil (HO)

Figure 6: Mean Excess Plot for Natural Gas (NG)

16

Figure 7: Hill Plot for Crude Oil (CL)

Figure 8: Hill Plot for Heating Oil (HO)

Figure 9: Hill Plot for Natural Gas (NG)

17

Window sizes: m ∈ [950, 1050] V aRH V aRHS V aRP α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 Minimum 2.48E-13 8.59E-08 6.31E-13 1.93E-08 0 1.09E-05 0 7.23E-04 Maximum 6.65E-09 1.70E-05 1.45E-10 8.94E-06 Mean 1.14E-09 2.65E-06 3.49E-11 1.73E-06 0 1.46E-04

V aRK V aRCF α = 0.01 α = 0.05 α = 0.01 α = 0.05 3.05E-09 1.35E-05 0 0.0081 4.61E-07 5.45E-04 0 0.0491 1.39E-07 1.40E-04 0 0.0215

18 Window sizes: m ∈ [60, 120] V aRHS V aRP α = 0.01 α = 0.05 α = 0.01 α = 0.05 0 8.49E-11 0 8.99E-05 0 1.42E-07 1.39E-10 0.0271 0 2.42E-08 4.99E-12 0.0035

Window sizes: m ∈ [450, 550] V aRH V aRHS V aRP α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 Minimum 6.25E-10 2.40E-06 1.25E-13 1.61E-06 0 0.0005 Maximum 5.20E-07 0.0003 6.06E-10 7.74E-05 0 0.0016 Mean 6.16E-08 4.61E-05 6.48E-11 1.70E-05 0 0.0008

V aRK α = 0.01 α = 0.05 3.43E-07 0.0035 3.20E-05 0.0169 1.19E-05 0.0080

V aRCF α = 0.01 α = 0.05 0 0.0230 0 0.0988 0 0.0500

V aRH α = 0.01 α = 0.05 Minimum 0 1.99E-11 Maximum 1.04E-05 0.0018 Mean 7.39E-07 0.0002

V aRK α = 0.01 α = 0.05 0.0188 0.2029 0.9812 0.9979 0.5158 0.5935

V aRCF α = 0.01 α = 0.05 0 0.1217 0 0.7696 0 0.3538

Table 2: p-values for associated VaR α levels for speciﬁed window sizes, m, for Crude Oil (CL) related to Ha : α = α0 .

Minimum Maximum Mean

V aRH α = 0.01 α = 0.05 0.0005 0.1098 0.0042 0.2384 0.0021 0.1594

Window sizes: m ∈ [950, 1050] V aRHS V aRP V aRK V aRCF α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 0.0005 0.0957 6.04E-14 0.5656 0.0110 0.6618 0 0.0425 0.0026 0.2175 6.97E-12 0.9957 0.0774 0.9568 0 0.1196 0.0012 0.1382 1.78E-12 0.8277 0.0425 0.8029 0 0.0658

19

V aRH α = 0.01 α = 0.05 Minimum 5.28E-05 0.0639 Maximum 0.0011 0.3815 Mean 0.0003 0.1568

Window sizes: m ∈ [450, 550] V aRHS V aRP V aRK V aRCF α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 3.30E-07 0.0583 0 0.7078 0.0047 0.4842 0 0.0402 0.0005 0.1737 0 1 0.0602 0.9979 0 0.2309 4.58E-05 0.0935 0 0.8677 0.0178 0.8190 0 0.1035

V aRH α = 0.01 α = 0.05 Minimum 0 1.75E-10 Maximum 8.47E-06 0.0130 Mean 2.69E-07 0.0016

Window sizes: m ∈ [60, 120] V aRHS V aRP V aRK V aRCF α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 0 2.31E-10 0 0.0136 0.0001 0.4115 0 0.5857 0 3.51E-05 0 0.3380 0.1208 0.9067 0 1 0 4.58E-06 0 0.1478 0.0147 0.6134 0 0.8266

Table 3: p-values for associated VaR α levels for speciﬁed window sizes, m, for Heating Oil (HO) related to Ha : α = α0 .

Minimum Maximum Mean

V aRH α = 0.01 α = 0.05 0 0 0 0 0 0

Window sizes: m ∈ [950, 1050] V aRHS V aRP α = 0.01 α = 0.05 α = 0.01 α = 0.05 0 0 0 0 2.22E-16 0 0 1.95E-14 2.86E-17 0 0 2.00E-15 V aRK α = 0.01 α = 0.05 1.55E-15 0 1.88E-12 0 2.25E-13 0

V aRCF α = 0.01 α = 0.05 0 7.24E-12 0 3.72E-08 0 7.12E-09

20 Window sizes: m ∈ [60, 120] V aRHS V aRP α = 0.01 α = 0.05 α = 0.01 α = 0.05 0 6.66E-16 0 0.0004 0 4.86E-09 5.67E-10 0.0075 0 4.18E-10 2.56E-11 0.0028

Window sizes: m ∈ [450, 550] V aRH V aRHS V aRP α = 0.01 α = 0.05 α = 0.01 α = 0.05 α = 0.01 α = 0.05 Minimum 2.70E-12 1.40E-14 1.87E-11 9.33E-15 0 5.12E-05 Maximum 2.31E-07 3.41E-09 5.55E-09 4.94E-11 0 0.0008 Mean 2.20E-08 1.50E-10 1.21E-09 3.73E-12 0 0.0004

V aRK V aRCF α = 0.01 α = 0.05 α = 0.01 α = 0.05 6.46E-07 4.42E-10 0 0.0279 0.0002 2.36E-06 0 0.1448 3.73E-05 2.67E-07 0 0.0634

V aRH α = 0.01 α = 0.05 Minimum 0 2.22E-16 Maximum 2.61E-08 1.92E-05 Mean 7.08E-10 1.43E-06

V aRK α = 0.01 α = 0.05 1.79E-05 0.0408 0.0099 0.9238 0.0009 0.2990

V aRCF α = 0.01 α = 0.05 0 0.0644 0 0.4898 0 0.1880

Table 4: p-values for associated VaR α levels for speciﬁed window sizes, m, for Natural Gas (NG) related to Ha : α = α0 .

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