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

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