Forecasting volatility of crude oil markets

Kang, Sang Hoon; Kang, Sangmok; Yoon, Seong‐Min

doi:10.1016/j.eneco.2008.09.006

Cited by 311 publications

(207 citation statements)

References 40 publications

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“…According to their empirical estimations, when sudden shifts of volatility were included in the GARCH model, the persistence of volatility was reduced significantly in each of the five markets. Based on the results, they have suggested that many previous studies may have overstated the degree of volatility persistence in financial time series, and highlighted the importance of capturing volatility shifts in the model (Kang et al 2009). Studies on major markets like the London and New York stock exchanges, the evidence was in favor of the EMH, especially at the weak and semi-strong form levels (Fama, 1991).However, emerging markets, on the other hand, indicate significant departures from the Efficient Market Hypothesis (Omet et al, 2002).…”

Section: Previous Studiesmentioning

confidence: 98%

“…Kang et al have investigated five Central European stock markets. Based on the results, they have suggested that many previous studies may have overstated the degree of volatility persistence in financial time series, and highlighted the importance of capturing volatility shifts in the model (Kang et al 2009). Dash and Mallick have examined whether contagion effects exist on Indian stock market, during the current financial crisis originated from the US.…”

Section: Previous Studiesmentioning

confidence: 98%

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Effect of Volatility Changes on Emerging Stock Markets: The Case of Jordan

Orabi¹,

Alqurran²

2015

jmr

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The Middle East financial markets have experienced several unexpected volatility shifts during the last two decades had recorded a serious impact on these markets and caused a financial turmoil that has elevated the uncertainties in the region. In view of this, more empirical findings should be learned and documented for future benefits. As one of the affected countries, Jordan was chosen as a case to provide empirical insight on the matter. This paper analyzed the behavior of Jordan's stock market (Amman Stock Exchange, ASE) during the intervals of high uncertainty. It highlighted the impact of volatility on this market in terms of its efficiency and returns, during 2004-2012 periods, by utilizing the iterated cumulative sums of squares (ICSS) algorithm, GARCH and GARCH-M models. Sudden changes in volatility seem to arise from the evolution of emerging stock markets, exchange rate policy changes and financial crises. Evidence also reveals that when sudden shifts are taken into account in the GARCH models, the persistence of volatility is reduced significantly in every series. Research results provided significant empirical evidence for positive risk-return relationship in the stock exchange. Moreover, this study also found that the stock market, across all sectors, was more sensitive to global news events as compared to ISSN 1941-899X 2015 www.macrothink.org/jmr 133 the local events. The asymmetrical responses to good and bad news were also an important characteristic of the ASE market behavior. Journal of Management Research

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Section: Previous Studiesmentioning

confidence: 98%

Section: Previous Studiesmentioning

confidence: 98%

Effect of Volatility Changes on Emerging Stock Markets: The Case of Jordan

Orabi¹,

Alqurran²

2015

jmr

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show abstract

“…Previous research on the oil industry has investigated long-memory properties in the case of oil consumption (Mohn and Osmundsen, 2008;Lean and Smyth, 2009), returns on oil investment (Boone, 2001) and oil exhaustion (Karbassi et al 2007;Tsoskounoglou et al 2008;Höök and Aleklett, 2008), and energy prices (Serletis, 1992;Lien and Root, 1999;Elder and Serletis, 2008;Kang et al, 2009). However, there are no existing studies on the degree of persistence of energy prices also allowing for possible breaks in the data.…”

Section: Introductionmentioning

confidence: 99%

Long Memory in German Energy Price Indices

2012

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“…1 Specifically, this study examines the degree of persistence, potential breaks and outliers of oil production for each OPEC member country within a fractional integration modelling framework. In particular, two important features commonly observed in oil production data are the persistence across time (Lien and Root, 1999;Kang et al 2009) and breaks in production (Altinay and Karagol, 2004;Lee and Chang, 2005;Rao and Rao, 2009). Modelling the degree of persistence is important in that it can reflect the stability of production in a particular country and given the importance of oil production to other sectors of an economy the persistence of such shocks may be transmitted to other sectors of the economy and macroeconomic aggregates as well.…”

Section: Introductionmentioning

confidence: 99%