RISK SPILLOVER EFFECT BETWEEN OIL SPOT AND FUTURES PRICE RETURNS

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JALALI NAIINI AHMADREZA; GHORBANI PASHAKOLAE VAHID; SAYADI MOHAMAD

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Journal: IRANIAN ENERGY ECONOMICS Year:2014 | Volume:3 | Issue:9 Page(s): 31-52

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Title

RISK SPILLOVER EFFECT BETWEEN OIL SPOT AND FUTURES PRICE RETURNS

Author(s)

JALALI NAIINI AHMADREZA | GHORBANI PASHAKOLAE VAHID | SAYADI MOHAMAD | Issue Writer Certificate

Keywords

VALUE AT RISKQ2

GED-GARCH MODELQ2

UPSIDE AND DOWNSIDE RISK SPILLOVER EFFECTQ2

KUPIEC TEST DELQ2

Abstract

Due to price volatility in the oil market, market players are exposed to large risks. VALUE AT RISK (VaR) is one of the main methods to measure market risk in various asset markets including commodities .,. In this study, Upside and Downside Risks are estimated by using the GED-GARCH method that is appropriate for leptokurtic distributions with fat tail. The daily spot and Futures oil prices data from January 1986 to December 2010 data for "in sample" and from January 2011 to July 2012 for "out of sample" are our data sample. To test the reliability of estimated VaR, the Kupiec test is used. Also by using Granger Causality analysis, the spillover effect risk between spot and futures oil price returns are investigated. Results show that spot and futures returns have leptokurtic distribution with fat tails. There is also a significant upside spillover effect risk from futures to spot price returns at 99% confidence level as for oil price increases during 2000s.

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APA: Copy

JALALI NAIINI, AHMADREZA, GHORBANI PASHAKOLAE, VAHID, & SAYADI, MOHAMAD. (2014). RISK SPILLOVER EFFECT BETWEEN OIL SPOT AND FUTURES PRICE RETURNS. IRANIAN ENERGY ECONOMICS, 3(9), 31-52. SID. https://sid.ir/paper/244887/en

Vancouver: Copy

JALALI NAIINI AHMADREZA, GHORBANI PASHAKOLAE VAHID, SAYADI MOHAMAD. RISK SPILLOVER EFFECT BETWEEN OIL SPOT AND FUTURES PRICE RETURNS. IRANIAN ENERGY ECONOMICS[Internet]. 2014;3(9):31-52. Available from: https://sid.ir/paper/244887/en

IEEE: Copy

AHMADREZA JALALI NAIINI, VAHID GHORBANI PASHAKOLAE, and MOHAMAD SAYADI, “RISK SPILLOVER EFFECT BETWEEN OIL SPOT AND FUTURES PRICE RETURNS,” IRANIAN ENERGY ECONOMICS, vol. 3, no. 9, pp. 31–52, 2014, [Online]. Available: https://sid.ir/paper/244887/en

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