Author: Massimiliano MarzoPublisher:
ISBN:
Category :
Languages : en
Pages : 33
Book Description
Volatility Forecasting for Crude Oil Futures
Author: Massimiliano MarzoEssays on Volatility Estimation and Forecasting of Crude Oil Futures
Author: Xiaoran YangForecasting Accuracy of Crude Oil Futures Prices
Author: Mr.Manmohan S. KumarPublisher: International Monetary Fund
ISBN: 1451951116
Category : Business & Economics
Languages : en
Pages : 54
Book Description
This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.
Crude Volatility
Author: Robert McNallyPublisher: Columbia University Press
ISBN: 0231543689
Category : Business & Economics
Languages : en
Pages : 336
Book Description
As OPEC has loosened its grip over the past ten years, the oil market has been rocked by wild price swings, the likes of which haven't been seen for eight decades. Crafting an engrossing journey from the gushing Pennsylvania oil fields of the 1860s to today's fraught and fractious Middle East, Crude Volatility explains how past periods of stability and volatility in oil prices help us understand the new boom-bust era. Oil's notorious volatility has always been considered a scourge afflicting not only the oil industry but also the broader economy and geopolitical landscape; Robert McNally makes sense of how oil became so central to our world and why it is subject to such extreme price fluctuations. Tracing a history marked by conflict, intrigue, and extreme uncertainty, McNally shows how—even from the oil industry's first years—wild and harmful price volatility prompted industry leaders and officials to undertake extraordinary efforts to stabilize oil prices by controlling production. Herculean market interventions—first, by Rockefeller's Standard Oil, then, by U.S. state regulators in partnership with major international oil companies, and, finally, by OPEC—succeeded to varying degrees in taming the beast. McNally, a veteran oil market and policy expert, explains the consequences of the ebbing of OPEC's power, debunking myths and offering recommendations—including mistakes to avoid—as we confront the unwelcome return of boom and bust oil prices.
Forecasting Volatility of Oil Prices & Their Effect on the Economy
Author: May Al- IssaPublisher:
ISBN: 9781916761629
Category :
Languages : en
Pages : 0
Book Description
With the importance of crude oil and its effect on the macro and micro economy alike and with the fluctuations of oil prices mainly due to geopolitical reasons -speculators taking this advantage in raising the prices in 2008; forecasting crude oil volatility becomes vital. This project addresses three main areas: modelling volatility, forecasting and calculating options premiums and finally examining the effect of oil prices on the economy. Five year daily prices of OPEC, being the reference to oil prices, Brent being one of the main oil markets, BP.plc as one of the giant oil companies, and S&P500 being the important market index are obtained from different approved resources. Auto Regressive Conditional Heteroskedasticity series proved, as examined by vast number of studies in the literature reviewed; to be better in forecasting volatility in time series. GARCH and EGARCH are estimated under normality using random walk with drift for a better fit. Upon choosing the optimal models according to the Akaike and Schwartz Information Criteria; EGARCH(1,2) is of better fit to volatility for OPEC containing recent shocks to the prices, yet GARCH(1,2) and GARCH(5,4) provided almost similar results. EGARCH(1,1) proves to be yet another good model for both modelling and forecasting volatility of Brent crude returns by covering the asymmetry and the leverage effects. Options premiums calculated of 31-day forecast period using Black-Scholes model show different outcome to that obtained from Bloomberg implying the attraction of more investors to buy more profitable options since higher risk leads to higher profits. By performing the Johansen cointegration method, it is evident that oil price fluctuations have longer term relationship between OPEC and BP than between OPEC and S&P500 yet all three are in equilibrium portraying for more downturn in the economy.
Forecasting the Volatility of Stock Market and Oil Futures Market
Author: Dexiang MeiPublisher: Scientific Research Publishing, Inc. USA
ISBN: 164997048X
Category : Business & Economics
Languages : en
Pages : 139
Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Oil Price Uncertainty
Author: Apostolos SerletisPublisher: World Scientific Publishing Company Incorporated
ISBN: 9789814390675
Category : Business & Economics
Languages : en
Pages : 142
Book Description
The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.
Oil Price Volatility and the Role of Speculation
Author: Samya Beidas-StromPublisher: International Monetary Fund
ISBN: 1498333486
Category : Business & Economics
Languages : en
Pages : 34
Book Description
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.
Volatility of Oil Prices
Author: Mr.Peter WickhamPublisher: International Monetary Fund
ISBN: 1451954727
Category : Business & Economics
Languages : en
Pages : 20
Book Description
This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.
Author: Cyril Youinou