Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models
Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models Tareena Musaddiq Download 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 … Read more