Implied volatility is therefore perceived as the market expectation of future volatility, and we expect it to be superior in forecasting future volatility compared

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

Our results indicate that the majority of GARCH series models except FIAPARCH model cannot provide satisfactory forecasting result of the volatility of WTI crude oil futures by

At the same time, the fluctuation of the BDP of crude oil futures has a certain lag on the volatility of crude oil futures, and the current BDP of crude oil futures will affect t

In this paper we investigate the importance of volatility spillover effects and asymmetric effects of negative and positive shocks on the conditional variance

Keywords : Trading Volume; Price Volatility; Crude Oil Futures; Natural Gas Futures; High-Frequency Data; Real- ized Volatility; Bipower Variation; Median Realized Volatility;

In this paper we investigate the importance of volatility spillover effects and asymmetric effects of negative and positive shocks on the conditional variance

Por medio del uso de la función ElementoSucesiónNH y el comando del software Mathematica FindSequenceFunction, es posible construir un método que busca encontrar de manera

To reduce the risk of an electric shock or fire, DO NOT use an extension cord or an adapter to connect the dryer to the electrical power

• Forecasting using Options and Futures: Put - Call Ratio; Volatility Forecasting Futures: Forecasting Strategies: Open Interest - Volume and Price Patterns, Volatility Index. •

El estudio de las variables que intervienen en los problemas aritméticos y la revisión de investigaciones previas que han empleado estrategia para valorar las producciones de los

For longer forecasting horizons futures contracts, or models combining futures contracts and the no-change forecast, emerge as better predictors of the future spot price of crude

This paper has two main objectives, as follows: 1 We investigate the importance of volatility spillovers and asymmetric effects of negative and positive shocks of equal magnitude on

One of the impacts of the presence of derivatives markets is that they can induce excess volatility, created by trading. In 1986, French and Roll proposed a method which

Model 3 and Model 4 use the squared futures return as the volatility measure for the futures market, and regress it on the new speculative index (Model 3) or Working'T (Model 4)

Thus, the high degree of integration in the financial markets fosters the contagion of volatility shock in the commodity market (in this case, the crude oil market) to the

Estimates of the conditional correlations between the WTI crude oil futures returns and oil company stock returns are found to be quite low using the CCC model, while

Abstract: The purpose of this paper is to investigate volatility spillovers between crude oil futures returns and oil company stock returns by using the recent multivariate