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Commodities Futures And Volatility Prices In Relation To The Application Of Garch Models
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Book Synopsis Commodities Futures and Volatility Prices in Relation to the Application of GARCH Models by : Shaliza Alwi
Download or read book Commodities Futures and Volatility Prices in Relation to the Application of GARCH Models written by Shaliza Alwi and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: GARCH models have proven crucial in the study of time series data, especially for financial applications. If the aim of the study is to examine and forecast volatility, these models are particularly helpful. This case study explains the rationale for the simplest GARCH model and shows its utility for analyzing commodities futures and volatility prices. The importance of GARCH model is to estimate or forecast the variance of error term. We briefly discuss extensions. This study employs GARCH and ARCH models to examine the effect of gold and palm oil prices on selected commodities futures, considering the current global context concerning the volatility of gold and palm oil prices.
Book Synopsis Forecasting Volatility of Futures Prices by : Albert Alexander Williams
Download or read book Forecasting Volatility of Futures Prices written by Albert Alexander Williams and published by . This book was released on 1994 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Volatility in Commodity Market by : Saif Siddiqui
Download or read book Forecasting Volatility in Commodity Market written by Saif Siddiqui and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity prices are volatile and volatility varies over time. Investing in commodities has generated heavy returns and has become increasingly popular, in spite of the high risks associated. The issue of volatility in commodity markets has attracted discussions at international forums too. This study is conducted to assess the volatility related issues of spot and future indices (metal, energy and agriculture) of MCX of India and to gauge the existence of leverage effect in the select commodity indices. It explores various measures of volatility spanning from November 1, 2005 to March 31, 2014. It has applied various ARCH family models such as Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Exponential GARCH (EGARCH) and Component GARCH (CGARCH) models. The results of GARCH indicate high persistence of volatility and news sensitivity. For metal spot, energy spot and metal future persistence is extremely high but for agriculture spot and energy future indices do not portray meaningful result. EGARCH model indicates that there is leverage effect in energy spot, agriculture spot and metal future but other indices do not verify presence of leverage effect. The results of CGARCH model indicate towards subsistence of trend and transitory component of volatility in all the indices except energy future.
Book Synopsis Risk Factors And Contagion In Commodity Markets And Stocks Markets by : Stephane Goutte
Download or read book Risk Factors And Contagion In Commodity Markets And Stocks Markets written by Stephane Goutte and published by World Scientific. This book was released on 2020-04-28 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Author :Isabelle Piot-Lepetit Publisher :Springer Science & Business Media ISBN 13 :1441976345 Total Pages :238 pages Book Rating :4.4/5 (419 download)
Book Synopsis Methods to Analyse Agricultural Commodity Price Volatility by : Isabelle Piot-Lepetit
Download or read book Methods to Analyse Agricultural Commodity Price Volatility written by Isabelle Piot-Lepetit and published by Springer Science & Business Media. This book was released on 2011-06-10 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.
Book Synopsis Futures Price Volatility in Commodities Markets by : Matteo Manera
Download or read book Futures Price Volatility in Commodities Markets written by Matteo Manera and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling and Forecasting Primary Commodity Prices by : Walter C. Labys
Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Book Synopsis Price Volatility Forecasts for Agricultural Commodities by : Guillermo Benavides
Download or read book Price Volatility Forecasts for Agricultural Commodities written by Guillermo Benavides and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been substantial research effort aimed to forecast futures price return volatilities of financial and commodity assets. Some part of this research focuses on the performance of time-series models (in particular ARCH models) versus option implied volatility models. A significant part of the literature related to this topic shows that volatility forecast accuracy is not easy to estimate regardless of the forecasting model applied. This paper examines the volatility accuracy of volatility forecast models for the case of corn and wheat futures price returns. The models applied here are a univariate GARCH, a multivariate ARCH (the BEKK model), an option implied and a composite forecast model. The composite model includes time-series (historical) and option implied volatility forecasts. The results show that the option implied model is superior to the historical models in terms of accuracy and that the composite forecast model was the most accurate one (compared to the alternative models) having the lowest mean-square-errors. Given these findings it is recommended to use a composite forecast model if both types of data are available i.e. the time-series (historical) and the option implied. In addition, the results of this paper are consistent to that part of the literature that emphasizes the difficulty on being accurate about forecasting asset price return volatility. This is because the explanatory power (coefficient of determination) calculated in the forecast regressions were relatively low.
Book Synopsis The Volatility of Futures Prices by : Jau-Lian Jeng
Download or read book The Volatility of Futures Prices written by Jau-Lian Jeng and published by . This book was released on 1991 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Transmission between the Oil and Stock Markets by : Fidel Farias
Download or read book Volatility Transmission between the Oil and Stock Markets written by Fidel Farias and published by GRIN Verlag. This book was released on 2016-07-11 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt
Book Synopsis Volatility in U.S. Dairy Futures Markets by : Jump. Jeffrey M.
Download or read book Volatility in U.S. Dairy Futures Markets written by Jump. Jeffrey M. and published by . This book was released on 2021 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay 1: Despite its sheer market size and volatile prices, the study of US dairy commodity prices and volatility is limited in recent literature. Compared to other commodities, dairy products show large price swings and unpredictable price volatility, making it more difficult for dairy farmers, dairy manufacturers, and other market participants to manage price risks. This essay investigates dairy commodities futures returns using five different return metrics, and corresponding realized volatilities at weekly and monthly levels. We apply GARCH models to consider the conditional heteroskedasticity in dairy futures returns. Our results show that dairy commodities returns are correlated positively, but only cheese and milk have strong correlations (over 85% coefficient for returns and over 90% for volatility.) We also report strong evidence that volatilities of all dairy commodities are significantly impacted by short-term return surprise (innovation) and past volatility. However, only dry whey exhibits dominant volatility persistence (long memory.) Our GJR GARCH results suggest that "good" news in return impacts butter and cheese volatility greater than "bad" news, while "bad" news impacts milk and dry whey greater than "good" news. Using multivariate GARCH DCC model, we show the return comovement are time-varying and volatility are interdependent among dairy commodities. The GARCH BEKK model indicates asymmetric (bi-directional) volatility spillover effects between dry whey and other commodities, especially between dry whey and cheese. We also demonstrate that dairy commodities return and volatilities, especially milk and cheese, are not closely related to macroeconomics variables possibly because of the unique characteristics of dairy products and heavy government regulation. Essay 2: The classified dairy pricing scheme under the Federal Milk Marketing Order (FMMO) and the cash settlement feature in the dairy commodity futures markets generate unique volatility patterns. This study shows that the USDA's weekly wholesale price announcement, commonly called the National Dairy Products Sales Report (NDPSR), influences futures prices and reduces volatility. Our results demonstrate that the volatility diminishes when a futures contract approaches expiration for all dairy commodities, including class III milk, cheese, butter, and dry whey. We provide further evidence that the dairy futures market responds to the USDA announcement by showing that trading volume and open interest are highest on the announcement days, and volatility peaks, for all dairy commodity futures, in-between the announcement days. Furthermore, we develop an information uncertainty measure to capture the information released by the USDA announcement. Using OLS regression models at the individual commodity level and VAR models considering the interdependences among dairy commodities, we show that the diminishing volatility is significantly correlated with the information uncertainty for all dairy commodities. Trading activities, such as trading volume and open interest, also contribute to the diminishing volatility. The short-term interest rate impacts the volatility of butter, cheese, and milk, while dollar index impacts dry whey volatility. Our VAR results show that volatilities of butter and dry whey are more independent, while volatility of cheese shows a moderate impact from butter volatility. Our results are robust to different models and seasonality effects.
Book Synopsis The Volatility of the Relative Price of Commodities in Terms of Manufactures Across Exchange Regimes by : Hong Liang
Download or read book The Volatility of the Relative Price of Commodities in Terms of Manufactures Across Exchange Regimes written by Hong Liang and published by . This book was released on 2006 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative commodity prices. The analysis shows that the relationship depends upon both the market structure and the economic agent`s perception about future exchange rate movements. When the markets for manufactured goods are less competitive than the markets for primary commodities, the volatility of relative commodity prices rises when exchange rate uncertainty increases. If demand for manufactured goods is intertemporally dependent, even a small increase in exchange rate uncertainty can result in potentially large costs in terms of increased relative commodity price instability.
Book Synopsis The Economics of Food Price Volatility by : Jean-Paul Chavas
Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-14 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Book Synopsis Food Price Volatility and Its Implications for Food Security and Policy by : Matthias Kalkuhl
Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Book Synopsis Effect of Futures Trading on Spot Market Volatility by : Brajesh Kumar
Download or read book Effect of Futures Trading on Spot Market Volatility written by Brajesh Kumar and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.
