Modeling dynamic higher moments of crude oil futures

Zhuo Huang (), Fang Liang, Tianyi Wang () and Chao Li

Finance Research Letters, 2021, vol. 39, issue C

Abstract: This paper investigates the time-varying conditional higher moments of the daily returns on WTI crude oil futures, using the GJR-GARCH model with Gram-Charlier expansion (GCE) of normal density. The empirical results suggest significant time-variations in the conditional skewness and kurtosis. The out-of-sample value-at-risk (VaR) forecasting results show the advantage of models with dynamic higher moments over those with constant higher moments.

Keywords: Time-varying higher moments; GJR-GARCH; Gram-Charlier expansion; Value-at-risk (search for similar items in EconPapers)
JEL-codes: C22 C52 C58 Q47 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727

DOI: 10.1016/j.frl.2020.101570

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