Volatility forecasting for crude oil futures

Marzo, Massimiliano ; Zagaglia, Paolo (2007) Volatility forecasting for crude oil futures. Bologna: Dipartimento di Scienze economiche DSE, p. 31. DOI 10.6092/unibo/amsacta/4684. In: Quaderni - Working Paper DSE (598). ISSN 2282-6483.
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Abstract

This paper studies the forecasting properties of linear GARCH models for closing-day futures prices on crude oil, first position, traded in the New York Mercantile Exchange from January 1995 to November 2005. In order to account for fat tails in the empirical distribution of the series, we compare models based on the normal, Student’s t and Generalized Exponential distribution. We focus on out-of-sample predictability by ranking the models according to a large array of statistical loss functions. The results from the tests for predictive ability show that the GARCH-G model fares best for short horizons from one to three days ahead. For horizons from one week ahead, no superior model can be identified. We also consider out-ofsample loss functions based on Value-at-Risk that mimic portfolio managers and regulators’ preferences. EGARCH models display the best performance in this case.

Abstract
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Marzo, Massimiliano
Zagaglia, Paolo
Settori scientifico-disciplinari
ISSN
2282-6483
DOI
Data di deposito
26 Feb 2016 11:09
Ultima modifica
26 Feb 2016 11:09
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