Modelling Long Memory in Volatility of Oil Futures Returns
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- 14MR38Sa.26783049
Final published version, 572 KB, PDF document
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 |