Forecasting Crude Oil (Spot Price) Volatility - Dissertation Example

Only on StudentShare

Extract of sample
Forecasting Crude Oil (Spot Price) Volatility

Daily prices for crude oils are effective in volatility forecasting. 17 It was also imperative to use the two cluster analysis in the paper. 17 In the case of GARCH to obtain the unknowns the formula was applied where the initial value Xk was taken to be 25.56 where a= 0.001 (fixed) 17 b= 0.00 18 c= 0.00 18 In using the same formula the values for a, b and c were P-GARCH established to be 18 a= 0.001(fixed) 18 b= 0.394 18 c= 0.050 18 Xk= 25.56 18 For GARCH GJR, the values were found to be 18 a=0.001 (fixed) 18 b= 0.488 18 c= 0.110 18 Xk= 25.56 18 for E GARCH a=0.001 (fixed) 18 b= 0.488 18 c= 0.11 18 From the findings captured in the spread sheet, we can derive various important factors about the GARCH family models and answer important questions arising from the same. These are 19 The data should be within range in order to get rid of outlier values.The data is reliable since the projection/ forecasted values are within limit. There are no outlier values as a result of projection. 19 The null hypothesis – Garch models predict uniformly 19 Alternative hypothesis- GARCH models predictions differ. ...Show more


Forecasting Crude Oil (Spot Price) Volatility Institution Date Table of Contents METHODOLOGY AND DATA 2 Introduction 2 Volatility clustering 4 Data for GARCH Models 6 Estimation 10 Models Used in the Study 11 GARCH (1,1) Model 12 EWMA is considered to be a special type of GARCH(1,1) 15 EGARCH (1,1) Model 15 Data and Sample Size Selection 17 There are four main benchmarks within the global arena in respect to international trading: West Texas Intermediate (WTI), Brent, Dubai, and Tapis…
Author : urielblanda
Save Your Time for More Important Things
Let us write or edit the dissertation on your topic
"Forecasting Crude Oil (Spot Price) Volatility"
with a personal 20% discount.
Grab the best paper

Related Essays

Influence of Oil Price on Non-Oil Sector Stocks in Saudi Arabia
This research helps to better determine the role oil prices play in the Saudi Arabian stock market. The results of this research could be significant for investors and enterprises in determining their hedge on their oil investments and could serve as a basis for further research and verifying its validity in other major oil producing countries, and in determining the direction their stock portfolio is expected to go in depending on oil prices.
16 pages (4000 words) Research Paper
Do Oil Prices influence Non-Oil Sector Stocks in Saudi Arabia?
The key assumptions in the study are: 1)The stocks chosen for analysis are representative of the sectors as they account for most market capitalisation in each sector; 2) By studying the causality relationship between oil prices and stock prices, we can reliably conclude on the influence of oil prices on stocks; 3) The impact of oil prices on stock prices is a constant phenomenon and not a “one-time” effect or a switch-on/switch off effect.
27 pages (6750 words) Research Paper
Risks in the Oil Industry. A Price Forecasting Analysis.
While currency may be the central thorough-put of social organization, it is forms of energy that drive the social apparatus. Energy in the form of petroleum, or oil, constitutes the predominant energy form of the modern world. Despite growing concerns about environmental sustainability, and the oftentimes-tumultuous conditions and nations that must be traversed to obtain oil, for the conceivable future this resource is Earth’s primary energy source.
44 pages (11000 words) Dissertation
The impact of Oil price changes on the Gulf Council Countries (GCC) stock markets
The researcher will try to find out the effect of the oil prices on the stock markets of Gulf Council Countries considering all the factors which affects the stock market like the capital existing in the market, the gross domestic product, the unemployment rate etc. Is there a positive correlation between the two or there is a negative correlation between the two variables that would also be analyzed.
12 pages (3000 words) Dissertation
Business Forecasting: Share price evaluation
Analysis is based on the following principles, By analyzing the log returns, the key data that stood out was that the max value was generated by FTSE MID 250 (0.580766) and the minimum return generated was by MILAN COMIT GENERAL (-0.006832. The lowest mean value was generated by BRUSSELS ALL SHARE (-.00319).
10 pages (2500 words) Essay
An Investigation of the impact of Oil price changes on the Gulf Council Countries (GCC) stock markets
I also affirm that the contents of this dissertation have not been previously presented for the submission of any degree. All the intellectual contents of the dissertation are output of my own work and knowledge. All the contributions made during the preparation of this dissertation are acknowledge Sincerely, Name Date Acknowledgment I found it obligatory to construct some words for conveying my gratitude and thanks to all the people who remained involved with me during the preparation of this dissertation.
52 pages (13000 words) Dissertation
Planning,Control, and Risk
According to the “Fortune” magazine, Apple Inc. was considered the most admired company in 2008 in the United States (Goldman, 2012). At present, Apple is the largest publicly traded company by market capitalization in the world. Apple Inc. is the largest technological company in the world in terms of profit and revenue, bigger than Microsoft and Google combined (Hughes, 2012).
6 pages (1500 words) Research Paper
The Idiosyncratic Volatility Anomaly
Asset pricing models are established for a security related to liquidity, diversification of a corporate portfolio, and recognized historical volatility of the security relative to known aggregate return shocks in the market or market capitalization of the firm.
6 pages (1500 words) Essay
Performance Measures
Higher ROI means that the investment center utilized a small portion of the invested assets to generate greater operating income as opposed to lower ROI which would mean that more invested assets were used to generate a similar or lower operating income.
1 pages (250 words) Assignment
Find out how much would it cost
to get a custom paper written by a pro under your requirements!
Win a special DISCOUNT!
Put in your e-mail and click the button with your lucky finger
Your email