Commodity volatility breaks

Andrew Vivian and Mark Wohar

Journal of International Financial Markets, Institutions and Money, 2012, vol. 22, issue 2, 395-422

Abstract: Volatility is a key determinant of derivative prices and optimal hedge ratios. This paper examines whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then uses GARCH (1,1) to model volatility during each regime.

Keywords: Commodity spot returns; GARCH; Structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C32 G01 G10 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (151)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:22:y:2012:i:2:p:395-422

DOI: 10.1016/j.intfin.2011.12.003

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