Department of Applied Economics National Chung Hsing University Taichung, Taiwan
Econometric Institute Erasmus School of Economics Erasmus University Rotterdam
Tinbergen Institute The Netherlands
Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo
Faculty of Economics Maejo University Thailand
Faculty of Economics Chiang Mai University Thailand
抄録
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk diversification. Conditional correlations are estimated using the CCC model of Bollerslev (1990), VARMAGARCH model of Ling and McAleer (2003), VARMA-AGARCH model of McAleer et al. (2009), and DCC model of Engle (2002). The paper also presents the ARCH and GARCH effects for returns and shows the presence of significant interdependences in the conditional volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and positive shocks on conditional variance suggest that VARMA-GARCH is superior to the VARMA-AGARCH model. In addition, the DCC model gives statistically significant estimates for the returns in each market, which shows that constant conditional correlations do not hold in practice.
内容記述
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雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-640
発行年
2009-08
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
