This article investigates the efficacy of a volatility model for three crude oil markets -- Brent, Dubai, and West Texas Intermediate (WTI) -- with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we...

We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...