Application of Holt-Winter and Grey Holt-Winter Model in Risk Analysis of United States (US) Energy Commodities Futures Using Value at Risk (VaR)

A futures contract is a derivative product in the form of an agreement that requires parties to buy or sell an underlying asset at a defined price and time in the future, which can be used as a means of hedging, speculation, or arbitrage. In this study, we utilize Holt-Winter and Grey Holt-Winter methods to model the daily closing price of the United States (US) energy commodity futures. The best model will be selected based on the lowest Mean Absolute Percentage Error (MAPE). In addition, we use Value at Risk (VaR) to assess risk. We took four energy commodities futures in the United States (US) as a sample, such as Natural Gas, Gasoline RBOB, Heating Oil, and Crude Oil. We suppose that the data has a pattern consisting of trend and seasonality. The stationarity test is used to prove this, showing the rejection of the hypothesis. Based on the study, the best model for all futures commodities is Holt-Winter because it has a lower MAPE value than Grey Holt-Winter. This paper concludes that, based on VaR, the energy-futures with the lowest risk is Heating Oil while the highest risk is Natural Gas.