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

Table 7

Portfolio risk under equally weighted natural gas portfolio.

Confidence level	Risk value	Normal copula	-copula
0.90	VaR	0.0746	0.0755
	CVaR	0.1094	0.1112
0.95	VaR	0.0977	0.0991
	CVaR	0.1344	0.1365
0.99	VaR	0.1565	0.1624
	CVaR	0.1989	0.1994