Table 5 Risk estimates for weekly returns in the futures market, 1979-2012

From: On agricultural commodities’ extreme price risk

Commodity Probability level: 0.25% Probability level: 0.05%
  VaR (95% conf. int.) VaR (95% conf. int.)
Panel (a): Left tail
Corn 11.19 (9.52, 13.11) 15.09 (12.13, 19.81)
Cotton 9.81 (8.44, 11.74) 12.84 (10.18, 17.17)
Oats 12.31 (11.26, 13.59) 15.31 (13.50, 17.95)
Soybeans 10.81 (9.35, 12.30) 14.56 (11.77, 18.12)
Wheat 10.55 (8.99, 12.40) 14.21 (11.24, 18.94)
Live cattle 7.09 (5.74, 9.56) 9.88 (6.95, 18.35)
Orange juice 12.40 (11.17, 13.99) 15.98 (13.84, 19.66)
Sugar 14.33 (13.11, 16.17) 17.63 (15.29, 21.52)
Panel (b): Right tail
Corn 13.62 (12.08, 16.39) 20.82 (17.49, 27.85)
Cotton 14.14 (11.21, 18.12) 23.92 (17.18, 34.28)
Oats 15.93 (12.64, 20.99) 25.57 (18.04, 38.59)
Soybeans 12.88 (10.59, 15.39) 20.97 (15.79, 27.43)
Wheat 14.98 (12.63, 17.27) 24.75 (19.64, 30.52)
Live cattle 7.65 (6.81, 8.74) 11.52 (9.73, 14.36)
Orange juice 19.50 (15.82, 24.49) 34.32 (25.03, 49.07)
Sugar 18.90 (16.39, 22.92) 29.43 (23.72, 40.19)
  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 = 75 observations, or approximately 4.2% of the observations. The confidence intervals (conf. int.) at a 95% level in parentheses are based on a block bootstraps procedure