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Piyasa Riskinin Ölçülmesi: Enerji Piyasası Üzerine Bir Uygulama

Bu çalışmanın amacı enerji piyasasında öngörülecek riske maruz değerler (VaR değerleri) için uygun dağılımın belirlenmesidir. Bu amaçla çalışmada Ocak 2003-Kasım 2013 dönemlerine ait Brent petrol, WTI petrol ve doğal gaza ilişkin günlük getiri serileri kullanılmıştır. VaR değerleri; normal, student-t ve GED dağılımına dayanan simetrik ve asimetrik GARCH modelli Varyans-Kovaryans yöntemi ile hesaplanmıştır. Analiz sonuçları, brent petrol serilerinde %99 ve %95 güven düzeyinde sırasıyla normal ve student-t dağılımının, WTI petrol ve doğal gaz serilerinde ise her üç dağılımın da doğru VaR öngörülerde bulunduğunu göstermiştir.

Measuring Market Risk: Evidence from Energy Market

The aim of this study is to determine an appropriate distribution for VaR in the energy market. Daily return data of Brent oil, WTI oil and natural gas are used for the period January 2003-November 2013. VaR is calculated by the Variance-Covariance method with the symmetric and asymmetric GARCH models based on normal, student-t and GED distributions. Analysis results suggest that at 99% and 95% confidence levels, the models based on normal and student-t distributions have more accurate predictions of VaR for Brent oil, while models based on each of the three distributions for WTI and natural gas have accurate predictions.

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