Research on volatility and extreme risk in Canadian oil companies’ stock price
The Canadian oil market is one of the most essential industries in Canada and has played a crucial role in international finance and the economy. The volatility in stock price reflects the risks a stock faces and therefore, studying Canadian oil stock price volatility is a must. Besides, the data period also consists of some extreme periods such as subprime mortgages in 2007 and the pandemic of COVID-19 in 2020. As a result, the extreme risks will be studied in this research. This research carried out some models and the ARMA-TGARCH model fits the data best. When calculating the predicted values, ARMA-TGARCH could not give accurate estimations, especially in long-term forecasting. Then the EVT-POT is used and outputs a relatively high value at risk. This indicates some implications and advice for investors and stock traders. The whole research proves that basic time series models and extreme value theory could not capture real-life problems. Risk predictions should be studied case by case and together with behavior economics such as preference, history, utility, etc. This study also claims that risk analysis should not depend on lag terms only. Some real-life factors should be added to this topic.
Y Zhang