Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models

dc.contributor.author	Tareena Musaddiq
dc.date.accessioned	2014-08-20T07:01:59Z
dc.date.available	2014-08-20T07:01:59Z
dc.date.issued	2012-06
dc.description	PP.30, ill.	en_US
dc.description.abstract	This study attempts to model and forecast the volatility of light, sweet, crude oil futures trading at the NYMEX during 1998–2009, using various models from the ARCH family. The results reveal that the GJR-GARCH (1,2) model is best suited to forecast purposes. The fitted models also suggest the presence of asymmetric effects in the data. The study also reveals that trading volume and open interest do not reduce the persistence of volatility for these oil futures.	en_US
dc.identifier.citation	The Lahore Journal of Business, Vol. 01, No. 1	en_US
dc.identifier.issn	ISSN 2223-0025
dc.identifier.uri	http://www.lahoreschoolofeconomics.edu.pk/businessjournals/LJBv1no1.aspx
dc.identifier.uri	http://hdl.handle.net/123456789/6159
dc.language.iso	en	en_US
dc.publisher	© Lahore School of Economics	en_US
dc.subject	Modeling volatility	en_US
dc.subject	Forecasting	en_US
dc.subject	Oil futures	en_US
dc.title	Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models	en_US
dc.type	Article	en_US

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