A Comparison of the Heteroskedasticity Models For Crude Oil Prices
Date Issued
2008
Date
2008
Author(s)
Hsu, Wen-Yu
Abstract
This paper uses different heteroskedasticity models to oil price data and compares the performance of them. The goal of this thesis is to find the model which is better for modeling and forecasting oil prices.here are two branches of volatility models. One is the return-based model, and the other is the range-based model. For these two branches, this paper uses GARCH model, EGARCH model, and CARR model.he DM test is also used to provide the statistical result. Based on the empirical results, CARR model is more sensitive to the volatility than other models. The forecast error of CARR model is also smaller. Furthermore, out-of-sample forecasts of CARR model is dominant based on the result of the DM test, but this domination only exists when the volatility prediction is a short-horizon phenomenon.o conclude, the range-based model such as CARR model has better forecast performance than the return-based model such as GARCH and EGARCH models. By testing of the model predictability, CARR model performs better than others as well.
Subjects
Oil Price
GARCH model
EGARCH model
CARR model
DM test
Type
thesis
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