Wartość zagrożona w warunkach ufinansowienia rynków surowców rolnych
Value at Risk in Conditions of Financialisation of Agricultural Commodity Markets

Summary/Abstract: Purpose – The main objective of this study was to analyze the usefulness of selected conditional VaR estimation models to measure the risk of an investment in the agricultural commodities futures markets in conditions of the financialisation of these markets. An additional aim was to evaluate and compare the level of an investment risk in the futures contract on particular agricultural commodities on different exchanges. Design/Methodology/approach – To estimate the VaR of the futures contracts for agricultural commodities the following conditional models were used: GARCH with a skewed Student-t distribution, GARCH-EVT and GARCH-FHS. To verify the effectiveness of tested models the following tests were implemented: Kupiec test, Christoffersen test, Christoffersen and Pelletier test. Findings – GARCH with a skewed Student-t distribution and GARCH-EVT allowed for correct estimation of the value at risk of the futures contracts for agricultural commodities during the financialisation of the agricultural commodities markets. There were differences in the level of an investment risk in the futures contracts on agricultural raw material on various exchanges. Originality/Value – According to the author’s knowledge the issue of measuring the value at risk of futures contracts for agricultural commodities rarely been undertaken in the literature, especially in the case of contracts traded on various exchanges.

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