Two-Step Conditional Alpha-Quantile Estimation via Additive Models of Location and Scale

AGRODEP Author
Authors
Carlos Martins-Filho, Feng Yao, and Maximo Torero
Publisher
International Food Policy Research Institute (IFPRI)

We propose an estimation procedure for value-at-risk (VaR) for conditional distributions of a time series of returns on commodity prices. Our approach combines an additive B-spline/back tting estimator of conditional mean and volatility functions in a conditional heteroscedastic autoregressive nonlinear model with Extreme Value Theory for estimating quantiles of the conditional distribution. We apply our methodology to estimate value-at-risk associated with return series for various commodities.

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