Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model

Table 8

VaRn estimation results.

		Long position VaRn	Short position VaRn
Soybean oil	95%	−1.640087	1.556682
	99%	−2.664474	2.502442
Rapeseed oil	95%	−1.411081	1.421339
	99%	−2.677870	2.762528
Palm oil	95%	−2.063909	2.015324
	99%	−3.435836	3.185844