EconPapers    
Economics at your fingertips  
 

Effective energy commodities’ risk management: Econometric modeling of price volatility

George Halkos () and Apostolos Tzirivis

MPRA Paper from University Library of Munich, Germany

Abstract: The current study emphasizes on the importance of the development of an effective price risk management strategy regarding energy products, as a result of the high volatility of that particular market. The study provides a thorough investigation of the energy price volatility, through the use of GARCH type model variations and the Markov-Switching GARCH methodology, as they are presented in the most representative academic researches. A large number of GARCH type models are exhibited together with the methodology and all the econometric procedures and tests that are necessary for developing a robust and precise forecasting model regarding energy price volatility. Nevertheless, the present research moves another step forward, in an attempt to cover also the probability of potential shifts in the unconditional variance of the models due to the effect of economic crises and several unexpected geopolitical events into the energy market prices.

Keywords: Energy commodities; WTI oil; Brent oil; electricity; natural gas; gasoline; risk management; volatility modeling; ARCH-GARCH models; Markov-Switching GARCH models. (search for similar items in EconPapers)
JEL-codes: C01 C58 D8 G3 O13 P28 Q43 Q47 Q58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-ets and nep-rmg
Date: 2018-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/90781/1/MPRA_paper_90781.pdf original version (application/pdf)

Related works:
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:pra:mprapa:90781

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2019-04-21
Handle: RePEc:pra:mprapa:90781