Analysis and Modeling of NYSE Arca Oil & Gas Stock Index Returns
Violeta Duta ()
Additional contact information
Violeta Duta: Bucharest University of Economic Studies
Hyperion Economic Journal, 2017, vol. 5, issue 4, 48-62
Through this study we have analyzed and modeled the returns of the NYSE ARCA OIL & GAS stock exchange index (symbol XOI). This index, previously called the AMEX Oil Index, comprises 20 of the most important oil companies operating in the oil industry. For a better overview, we have presented the factors that influence the price of oil and the effects of lowering its price on oil companies and on the economy of oil exporting states. The study was conducted between August 1983 and April 2017 on a daily frequency of data. In trying to identify the most appropriate predictive model for 10 periods, we tested several ARIMA, ARCH and GARCH models. Based on the AIC criterion, we selected the ARMA (2,1) - GARCH (1,1) model, which we predicted for the next 10 periods, the series of returns and the conditional volatility of the studied index. Predicted conditional volatility indicates a slight increase for the 10 periods of time, while the predicted series of returns evolve downward. The study thus confirmed the theoretical hypothesis that increased volatility in stock markets occurs when price declines are recorded, the impact of negative news on stock markets being stronger than positive news.
Keywords: returns; volatility; Garch model; stock index; prediction (search for similar items in EconPapers)
JEL-codes: C32 C53 Q43 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hyp:journl:v:5:y:2017:i:4:p:48-62
Access Statistics for this article
Hyperion Economic Journal is currently edited by Iulian Panait
More articles in Hyperion Economic Journal from Faculty of Economic Sciences, Hyperion University of Bucharest, Romania Hyperion University, Faculty of Economic Sciences, Calea Calarasilor no. 169, district 3, Bucharest, 030615, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Iulian Panait ().