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

Table 4

Goodness-of-fit test for marginal distributions.

	TTFFD	TTFFM	TTFFQ	TTFFS	TTFFY
First moment LB test	0.4000	0.1278	0.2771	0.2530	0.1008
First moment LB test	0.2171	0.6031	0.0562	0.0862	0.1753
First moment LB test	0.5548	0.0791	0.4020	0.0503	0.1164
First moment LB test	0.1283	0.0651	0.1357	0.1247	0.2840
KS test	0.9997	1.0000	0.9436	0.9997	0.8967

Note. This table reports the P values from the Ljung-Box (LB) test for serial independence of the first four moments of the variable . We regress on the first five lags of the variables for . In addition, we present the P values of the Kolmogorov-Smirnov (KS) test for the adequacy of the distribution model.