Research Article
Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
Table 6
Estimated parameters of natural gas portfolio for the multivariate Student
-copula.
| | TTFFD | TTFFM | TTFFQ | TTFFS | TTFFY |
| TTFFD | 1.0000 | 0.5525** (0.0161) | 0.4995** (0.0177) | 0.4408** (0.0190) | 0.4003** (0.0194) |
| TTFFM | 0.5525** (0.0161) | 1.0000 | 0.7755** (0.0087) | 0.7681** (0.0089) | 0.7071** (0.0107) |
| TTFFQ | 0.4995** (0.0177) | 0.7755** (0.0087) | 1.0000 | 0.7830** (0.0084) | 0.8753** (0.0089) |
| TTFFS | 0.4408** (0.0190) | 0.7681** (0.0089) | 0.7830** (0.0084) | 1.0000 | 0.7514** (0.0093) |
| TTFFY | 0.4003** (0.0194) | 0.7071** (0.0107) | 0.8753** (0.0089) | 0.7514** (0.0093) | 1.0000 |
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Note. ** denotes rejection of the null hypothesis at the 1% and 5% significance levels, respectively.
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