Measuring parametric and semiparametric downside risks of selected agricultural commodities

In this paper, we evaluate the downside risk of six major agricultural commodities – corn, wheat, soybeans, soybean meal, oil and oats. For research purposes, first use an optimal generalised autoregressive conditional heteroscedasticity (GARCH) model to create residuals, which later for measuring risks via parametric semiparametric approaches. Modified value-at-risk (mVaR) modified (mCVaR) provide more accurate results than do ordinary (VaR) (CVaR). We report that has lowest mVaR mCVaR because it two very favourable features skewness around zero low kurtosis. The second-best commodity is soybeans. worst-performing are in wheat oats, primarily their high kurtosis values. On basis results, propose investors various agents involved with these assets they reduce loss by combining other financial or have risk.