Commodity volatility breaks

Volatility is a key determinant of derivative prices and optimal hedge ratios. This paper examines whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then uses GARCH (1,1) to model volatility during each regime.

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Year of publication:	2012
Authors:	Vivian, Andrew ; Wohar, Mark E.
Published in:	Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 22.2012, 2, p. 395-422
Publisher:	Elsevier
Subject:	Commodity spot returns \| GARCH \| Structural breaks

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; G01 - Financial Crises ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572112