Conditional Value-At-Risk Modelling Using Hybrid LASSO-QRNN to Quantify the Market Risk Dependence on Oil and Gas Companies’ Stock in Indonesia
摘要
The oil and gas sector is pivotal to the global economy, influencing financial investment decisions due to its substantial impact on economic and geopolitical stability. Consequently, analyzing the risk dependence of oil and gas company stocks is crucial for investors and decision-makers to comprehend the interconnected risks within this sector. This study employed a hybrid LASSO-QRNN approach to develop a conditional Value-at-Risk (CoVaR) model, aiming to capture the risk dependence among oil and gas companies listed on the Indonesian stock exchange (IDX). The findings indicate that systemic risk escalated during the COVID-19 pandemic.