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Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
http://hdl.handle.net/2261/26676
http://hdl.handle.net/2261/26676f24d85ec-43c7-4c88-abca-d740848daa23
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Volatility spillovers | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | multivariate GARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conditional correlations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | crude oil spot prices | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | spot returns | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | forward returns | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | futures returns, JEL Classifications: C22, C32, G17, G32 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Chang, Chia-Lin
× Chang, Chia-Lin× McAleer, Michael× Roengchai, Tansuchat |
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| 著者所属 | ||||||
| 著者所属 | Department of Applied Economics National Chung Hsing University Taichung, Taiwan | |||||
| 著者所属 | ||||||
| 著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute The Netherlands | |||||
| 著者所属 | ||||||
| 著者所属 | Center for International Research on the Japanese Economy (CIRJE) | |||||
| 著者所属 | ||||||
| 著者所属 | Faculty of Economics University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Faculty of Economics Maejo University Thailand | |||||
| 著者所属 | ||||||
| 著者所属 | Faculty of Economics Chiang Mai University Thailand | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at- Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four markets, using three multivariate GARCH models, namely the CCC, VARMA-GARCH and VARMA-AGARCH models. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecasted conditional correlations between pairs of crude oil returns have both positive and negative trends. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-641, 発行日 2009-08 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 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 | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf641ab.html | |||||
