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Oil Price Volatility Forecast with Mixture Memory GARCH · Study

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ArticleOil Price Volatility Forecast with Mixture Memory GARCH

Tony Klein2015

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Oil Price Volatility Forecast with Mixture Memory GARCH

Tony Klein · Thomas Walther

114 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993Measuring and Testing the Impact of News on Volatility 2001Empirical properties of asset returns: stylized facts and statistical issues 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model 1998Evaluating Interval Forecasts

Cited by

2021The impact of extreme events on energy price risk 2021Multi-step-ahead crude oil price forecasting based on two-layer decomposition technique and extreme learning machine optimized by the particle swarm optimization algorithm 2018Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?2018Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model 2019Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models

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Details

Year2015

Typearticle

Published2015-01-01

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations114

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2016.06.004

openalex_workW3125066716

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2019The impact of oil price uncertainty on GCC stock markets

2021Stock market volatility forecasting: Do we need high-frequency data?

2021Effects of structural changes on the prediction of downside volatility in futures markets