Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in Economics and Finance 34 (2017) 3, pp. 344-362
Purpose This paper aims to indirectly evaluate the accuracy of various volatility models using a value-at-risk (VaR) approach and to investigate the relationship between the accuracy of volatility modelling and investments performance in the financialized commodity markets....