Work detail

Analysis of volatility of energy commodities

Author: Mgr. Radovan Chalupka
Year: 2004 - summer
Leaders: prof. Ing. Miloslav Vošvrda CSc.
Consultants:
Work type: Finance and Banking
Masters
Language: English
Pages: 77
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance
Link:
Abstract: This work analyses price volatility of crude oil, natural gas and electricity. It tests the hypothesis whether ARCH type models provide good volatility forecasts of these energy commodities. After examining statistical properties of the series and identifying their features different ARCH models are fitted and analysed within the whole sample. The best models are selected and then analysed out-of-sample. Using rolling window, multiple forecasts are generated and then used as regressors of realised future volatility. Comparison with the benchmark of historical volatility shows that for crude oil and natural gas GARCH(1,1) and EGARCH(1,1) models respectively provide good volatility forecasts. However, for electricity none of the models provided satisfactory results out-of-sample.
Downloadable: Radovan Chalupka
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