Юэ-Сянь Ли*, Цзинь-Го Лянь и Хун-Кунь Чжан
???? ?? ????? ????????? ????? ?????? ??????? ?? ??????? ?????????. ? ???? ??????, ????????? ?????? ?????? ? ?????????? ????? ?? ????? ????? Europe Brent ? West Texas Intermediate (WTI) Cushing ? 4 ?????? 2000 ???? ?? 4 ?????? 2016 ????, ????????????? ? ???????????? ????????????? ??????????????? VaR-??????? ???? GARCH ? ????????????? ???????????. ?? ?????? ????? POF ?????? ? ????????????? ??????????? ????? ??????????????, ? ????? ??????? VaR-?????? ????????? ???????????? ???????????? ?????????? ??????????, ??? ??? ????? ????? Europe Brent ????????? ????????????? ????? EGARCH (1,1); ? ?? ????? ??? ??? WTI APARCH (1,1) ? GJR-GARCH (1,1) ??????????? ?????? ?????? GARCH. ??????????, ??? ?????????? ????? ???? ?????? ???????? ? ???, ??? ??????? ?????? ?????? ?????????? ??????? ??? ????????????? ?????? ?????? ???????? ???? ? ???? ? ??? ?? ?????? ???????.
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