Table 4 Risk estimates for monthly returns in the spot market, 1928-2014

Commodity Probability level: 1.00%   Probability level: 0.25%
VaR (95% conf. int.)   VaR (95% conf. int.)
Panel (a): Left tail
Corn 19.68 (16.87, 23.31)   26.79 (21.39, 36.57)
Cotton 13.04 (11.03, 14.79)   17.97 (14.00, 22.91)
Oats 20.41 (17.52, 24.44)   29.12 (22.92, 39.88)
Soybeans 20.47 (17.73, 23.25)   26.57 (23.17, 31.27)
Wheat 18.30 (16.02, 21.93)   24.21 (20.28, 32.10)
Live cattle 11.50 (10.08, 12.97)   14.66 (12.78, 16.40)
Oranges 45.20 (40.20, 51.53)   61.06 (53.88, 71.08)
Sugar 21.15 (18.78, 23.56)   27.49 (23.74, 32.58)
Panel (b): Right tail
Corn 23.23 (19.40, 27.75)   37.59 (28.47, 50.01)
Cotton 18.14 (14.48, 22.70)   31.11 (22.70, 44.16)
Oats 25.03 (20.69, 31.86)   40.09 (30.34, 61.07)
Soybeans 24.77 (19.93, 31.12)   42.28 (31.01, 60.20)
Wheat 24.33 (20.68, 29.37)   37.82 (30.54, 51.91)
Live cattle 14.41 (12.16, 16.27)   23.15 (17.50, 27.49)
Oranges 84.61 (65.27, 108.60)   172.37 (111.73, 259.72)
Sugar 38.76 (32.33, 47.48)   69.74 (52.32, 105.24)
1. Note: The Value-at-Risk (VaR) estimates are expressed in percentage price changes. VaR estimates for the left tail in panel (a) are calculated from Eq. 24 using the general estimator of Fraga Alves et al. (2009) for $$\hat \gamma _{G}$$. VaR estimates for the right tail in panel (b) are calculated from Eq. 23 using the Hill estimator. Estimates use k = 50 observations, or approximately 5.4% of the observations. The confidence intervals (conf. int.) at a 95% level in parentheses are based on a block bootstraps procedure