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????? ??????? ????????? VAR ?????????? ????????????? ??????? ????????????

Yue-Xian Li*, Jin-Guo Lian மற்றும் Hong-Kun Zhang

????? ??????????????? ??????? ???? ??? ?????????? ????????? ???????????????. ?????? ??????, ??. 4, 2000 ????? ??. 4, 2016 ???????? ??????? ???????? ??????? ?????? ???????? ????????????? (WTI) ?????? ????? ??????? ?????? ????????? ?????? ????????????? ???????????, GARCH ??? ?????????? VaR ??????????? ?????????? ??????????? ???????????? ????????????????. ??????? ????????. Kupiecs POF-test ??????? Christo fersens ??????? ????????????? ?????, ??????? ??? ???? ????? VaR ?????? ????????? ??????????? ????????????, ????? ????????? ??????????? Brent ????? ???????, EGARCH (1,1) ?????? ???????????? ??????????? ???????? ???????????; WTI ????, APARCH (1,1) ??????? GJR-GARCH (1,1) ?????? ???? GARCH ????????? ??? ???????? ??????????????. ?????????, ???? ????????? ??? ????????? ???????? ????????????? ??????????? ????????????? ?????? ???? ???????? ???????? ??????? ?????? ??????? ?????????? ??????????????? ???????????????? ???????????.