Forecasting Crude Oil Market Volatility

摘要：

This paper investigates the usefulness of several GARCH class models for modeling and forecasting the volatility of crude oil future price in two main international markets-West Texas Intermediate (WTI) and Brent, over the period from January 1997 to December 2007. Our results show that asymmetry, fattails and long memory are common characters on crude oil markets volatility. The FIGARCH model, which is capable of capturing long memory and asymmetric volatility, exhibits greater forecasting accuracy than other GARCH class models (GARCH, EGARCH, GJR, IGARCH) in the volatility of both enegry markets.

关键词： VolatiJitcasting GARCH EGARCH GJR IGARCH FIGARCH

作者: Jingfeng Xu Jian Liu

作者单位: China Institute for Actuarial Science Central University of Finance and Economics Beijing, China School of Banking and Finance University of International Business and Economics Beijing, China

会议类型: 国际会议

会议名称: 2011 International Conference on Economics, Business and Marketing Management(EBMM 2011)(2011年经济、商业和营销管理国际会议)

会议地点: 上海

会议语种:英文

页码: 623-627

在线出版日期: 2011-03-11（万方平台首次上网日期，不代表论文的发表时间）