Modelling Long Memory in Volatility of Oil Futures Returns

Saada  Abba; Zahid Muhammad; Reza  Kouhy

Modelling Long Memory in Volatility of Oil Futures Returns

Saada Abba
, Zahid Muhammad
, Reza Kouhy

Kano University of Science, Nigeria
University of Dammam
Abertay University

Research output: Contribution to journal › Article › peer-review

Abstract

This paper examines long memory in the West Texas Intermediate (WTI) and Brent crude oil futures markets using the GARCH-class models. The results provide strong evidence of long term dependence in returns for both markets at different maturities. Also, the presence of asymmetric leverage effect was detected in the oil futures prices for all markets. The findings suggest that the two oil futures markets have similar pattern in their returns volatility at different maturities which violates the market efficient hypothesis

Original language	English
Journal	The Macrotheme Review
Volume	3
Issue number	8
Publication status	Published - 1 Oct 2014
Externally published	Yes

Cite this

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title = "Modelling Long Memory in Volatility of Oil Futures Returns",

abstract = "This paper examines long memory in the West Texas Intermediate (WTI) and Brent crude oil futures markets using the GARCH-class models. The results provide strong evidence of long term dependence in returns for both markets at different maturities. Also, the presence of asymmetric leverage effect was detected in the oil futures prices for all markets. The findings suggest that the two oil futures markets have similar pattern in their returns volatility at different maturities which violates the market efficient hypothesis",

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N2 - This paper examines long memory in the West Texas Intermediate (WTI) and Brent crude oil futures markets using the GARCH-class models. The results provide strong evidence of long term dependence in returns for both markets at different maturities. Also, the presence of asymmetric leverage effect was detected in the oil futures prices for all markets. The findings suggest that the two oil futures markets have similar pattern in their returns volatility at different maturities which violates the market efficient hypothesis

AB - This paper examines long memory in the West Texas Intermediate (WTI) and Brent crude oil futures markets using the GARCH-class models. The results provide strong evidence of long term dependence in returns for both markets at different maturities. Also, the presence of asymmetric leverage effect was detected in the oil futures prices for all markets. The findings suggest that the two oil futures markets have similar pattern in their returns volatility at different maturities which violates the market efficient hypothesis

M3 - Article

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JO - The Macrotheme Review

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Modelling Long Memory in Volatility of Oil Futures Returns

Abstract

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