This study investigates whether different specifications of univariate GARCH models can usefully forecast volatility in the foreign exchange market. The study compares in-sample forecasts from symmetric and asymmetric GARCH models with the implied volatility derived from currency options for...

The main purpose of the paper is to present, how derivatives valuing methodology, known from financial and commodities markets, can be applied to the electricity market. We compare an application of three recent models. We start with the convenience yield approach, then we analyse the...

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

To examine the impact of the change in forward pricing mechanism on the volatility of iron ore spot prices, we model the iron ore daily price of Platts IODEX from October 7, 2008 to September 21, 2012. The identified iron ore spot price tends to be less volatile after the introduction of...

In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data...

This paper investigates the behaviour of spot prices in eight energy markets that trade futures contracts on NYMEX. We consider two types of models, a mean-reverting model, and a spike model with mean reversion that incorporates two different speeds of mean reversion; one for the fast...