Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory

Walid Chkili, Shawkat Hammoudeh and Duc Khuong Nguyen

No 2014-389, Working Papers from Department of Research, Ipag Business School

Abstract: This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and

Keywords: commodity markets; GARCH models; asymmetries; long memory; volatility forecasts. (search for similar items in EconPapers)
JEL-codes: C22 G17 Q47 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-for and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (192)

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Related works:
Journal Article: Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014)
Working Paper: Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014)
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