Skewness in energy returns: estimation, testing and implications for tail risk

• DOI: 10.1016/j.qref.2023.06.003
• Publication Date: 2023-06-17T01:41:38Z
• Authors: M. Angeles Carnero; Angel León; Trino-Manuel Ñíguez
• Keywords: Kurtosis; Semivariance; Tail risk

In this paper we estimate the skewness of unconditional distribution energy returns and test its statistical significance. We compare performance traditional robust tests for with those based on implied in a TGARCH model Gram-Charlier (TGARCH-GC) innovations. also analyze implications TGARCH-GC tail risk through evaluation Value-at-Risk (VaR) expected shortfall (ES) accuracy. Our results show that crude oil (Brent WTI) Gasoline are negatively skewed, while do not find evidence skewed other such as Heating oil, Kerosene Natural gas. This indicates former likely to encapsulate more largely effect negative shocks so present higher than latter. These differ from providing important information how improve mean-variance management measures. Indeed, three-moment VaR ES measures third-order Cornish Fisher (CF3) expansion considerably their corresponding two-moment ones. adopt CF3 disentangle effects kurtosis risk.