Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

Table 1

Descriptive statistics of spot and generic futures returns for natural gas portfolio.

	TTFFD	TTFFM	TTFFQ	TTFFS	TTFFY
Mean	0.0002	0.0000	0.0001	0.0002	0.0001
Median	0.0000	0.0000	−0.0007	−0.0005	0.0000
Maximum	0.3923	0.2672	0.5462	0.7724	0.3476
Minimum	−0.3538	−0.1171	−0.2027	−0.1780	−0.3482
Std. dev.	0.0453	0.0273	0.0286	0.0289	0.0214
Skewness	−0.0396	1.7707^**	6.3836^**	12.5263^**	2.3924^**
Kurtosis	11.7180^**	18.1748^**	111.4036^**	306.0295^**	115.0176^**
JB	6125.1020^**	19566.9600^**	960097.8000^**	7450294.0000^**	1013000.0000^**
ADF	−49.3317^**	−27.2174^**	−43.5283^**	−42.2873^**	−27.6217^**
KPSS	0.05345	0.0805	0.07311	0.04966	0.0614
Observations	1934	1934	1934	1934	1934

Note. ** denotes rejection of the null hypothesis at the 1% and 5% significance levels, respectively.