Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

Christopher Baum and Paola Zerilli

Energy Economics, 2016, vol. 53, issue C, 175-181

Abstract: We evaluate alternative models of the volatility of commodity futures prices based on high-frequency intraday data from the crude oil futures markets for the October 2001–December 2012 period. These models are implemented with a simple GMM estimator that matches sample moments of the realized volatility to the corresponding population moments of the integrated volatility. Models incorporating both stochastic volatility and jumps in the returns series are compared on the basis of the overall fit of the data over the full sample period and subsamples. We also find that jumps in the returns series add to the accuracy of volatility forecasts.

Keywords: Stochastic volatility; Commodity futures prices; Crude oil futures (search for similar items in EconPapers)
JEL-codes: G13 Q41 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (27)

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Working Paper: Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:53:y:2016:i:c:p:175-181

DOI: 10.1016/j.eneco.2014.10.007

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