Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/58591
Title: GARCH models in forecasting the volatility of the world’s oil prices
Authors: Nguyen Trung Hung
Nguyen Ngoc Thach
Le Hoang Anh
Keywords: Computer Science
Issue Date: 1-Jan-2018
Abstract: © 2018, Springer International Publishing AG. This study was conducted to forecast the volatility of the world’s oil prices. Using the daily data of the WTI spot oil price collected from the US Energy Information Administration in the period from 01/02/1986 to 25/4/2016, estimation using models such as GARCH(1,1), EGARCH(1,1), GJR-GARCH(1,1) was made under 4 different distributions: normal distribution, Student’s t-distribution, generalized error distribution (GED), skewed Student’s t-distribution. The results show that the EGARCH(1,1) model with Student’s t-distribution provides the most accurate forecast. In addition, it is also shown that the volatility of crude oil price in the future can be predicted by the past volatility while crude oil price shock has a relatively small impact on oil price volatility.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038855599&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58591
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.


Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.