Search

Begin New Search
Proceed to Checkout

Search Results for All:
(Showing results 1 to 1 of 1)



Volatility Forecasting of Crude Oil Market: Which Structural Change Based GARCH Models have Better Performance?

Yue-Jun Zhang and Han Zhang

Year: 2023
Volume: Volume 44
Number: Number 1
DOI: 10.5547/01956574.44.1.yzha
View Abstract

Abstract:
GARCH-type models have been widely used for forecasting crude oil price volatility, but often ignore the structural changes of time series, which may lead to spurious volatility persistence. Therefore, this paper focuses on the smooth and sharp structural changes in crude oil price volatility, i.e., smooth shift and regime switching, respectively, and investigates which structural change based GARCH models have better performance for forecasting crude oil price volatility. The empirical results indicate that, first, the flexible Fourier form (FFF) GARCH-type models considering smooth shift can accurately model structural changes and yield superior fitting and forecasting performance to traditional GARCH-type models. Second, the Markov regime switching (MRS) GARCH model incorporating regime switching exhibits superior fitting performance compared to the single-regime GARCH-type models, but it does not necessarily beat the counterparts for forecasting. Finally, the FFF-GARCH-type models outperform MRS-GARCH for forecasting crude oil price volatility and portfolio performance.





Begin New Search
Proceed to Checkout

 

© 2024 International Association for Energy Economics | Privacy Policy | Return Policy