Forecasting Crude Oil and Refined Products Volatilities and Correlations: New Evidence from Fractionally-Integrated Multivariate GARCH Models
Research by Malvina Marchese, Ph.D., Michael Tamvakis, Ph.D., Ioannis Kyriakou, Ph.D., Cass Business School, City University of London, U.K. and Francesca Di Iorio, Ph.D., Dipartimento di Scienze Politiche, Universita’ Degli Studi di Napoli Federico II, Italy
This paper advocates the use of long-memory multivariate GARCH models to forecast spot return volatilities and correlations for crude oil and related products. The paper provides useful insights to non-commercial oil traders and other energy markets agents engaged in hedging and risk management operations.
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