Samet GUNAY

151192

Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns

Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns

In conjunction with the recent alternative models, a wide literature has been established for volatility modeling in finance theory. In this study, we examine return volatility of Brent oil returns through GARCH, EGARCH, GJR-GARCH and MRS-GARCH models. As a preliminary test concerning the potential regimes, first, we use modified ICSS test in order to examine the existence of breaks in the variance of return series. All volatility models are formed under normal, GED and student-t distributions. According to the AIC and BIC values, MRS-GARCH model outperforms all other alternative models. Another interesting result is the failure of the models that formed under normal distribution.

Keywords:

Markov Regime Switching GARCH, Oil Volatility Variance Breaks,

International Journal of Energy Economics and Policy-Cover

Başlangıç: 2011
Yayıncı: İlhan ÖZTÜRK

Arşiv

Sayıdaki Diğer Makaleler

The Effect of Financial and Macroeconomic Factors on the Oil Market

Nikolaos SARİANNİDİS, Georgios GALYFİANAKİS, Evagelos DRİMBETAS

The Asymmetric Impact of Oil Price Shocks on Kazakhstan Macroeconomic Dynamics: A Structural Vector Autoregression Approach

Nezir KÖSE, Sabit BAİMAGANBETOV

Dynamics of Switching from Polluting Resources to Green Technologies

Supratim Das GUPTA

Relationship between Energy Consumption and Real Gross Domestic Production in Turkey: A Co-integration Analysis with Structural Breaks

A. Oznur UMİT, Elif BULUT

Measuring the Security of External Energy Supply and Energy Exports Demand in Central Asia

Examining Relationship between Electricity Consumption and its Major Determinants in Pakistan

Mudassir ZAMAN, Farzana SHAHEEN, Azad HAİDER, Sadia QAMAR

Coupling and Decoupling Relationships between Energy Consumption and Air Pollution from the Transport Sector and the Economic Activity

George Nikiforos BOTZORİS, Athanasios T. GALANİS, Vassilios A. PROFİLLİDİS, Nikolaos E. ELİOU

How Secure is the EU Energy Policy after the Ukraine Crisis?

Yasin Kerem GÜMÜŞ

Economic Growth and CO2 Emissions: Investigating the Environmental Kuznets Curve Hypothesis in Algeria

Miloud LACHEHEB, Abdul Samad Abdul RAHİM, Abdalla SİRAG

The Effect of Stock, Government Policy, and Monopoly on Asymmetric Price Transmission in Thailand

Prasarn PATANAKORN, Pongsarn PORNCHAİWİSETGUL