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

Christopher Baum and Paola Zerilli

No 860, Boston College Working Papers in Economics from Boston College Department of Economics

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: 2014-10-01
New Economics Papers: this item is included in nep-ene and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published, Energy Economics, 53:175-181, 2016.

Downloads: (external link)
http://fmwww.bc.edu/EC-P/wp860.pdf main text (application/pdf)

Related works:
Journal Article: Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:860

Access Statistics for this paper

More papers in Boston College Working Papers in Economics from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().