Garch and SV Model Based VaR Modeling for Energy Risk Management

Uncertainty plays a very important role in the energy world. The assumption of a probabilistic description for energy price is crucial to the development of models for the understanding of risk in the world. Value at risk (VaR) has become an essential tool for this end when quantifying market risk. In this article, we propose VaR of WTI calculated through GARCH and SV model for energy risk management. Empirical results show that SV model is superior to GARCH model in estimating VaR of WTI.