Garch modeling of five popular commodities

Saralees Nadarajah; Emmanuel Afuecheta; Stephen Chan

doi:10.1007/s00181-014-0845-3

Garch modeling of five popular commodities

Saralees Nadarajah (Collaborator), Emmanuel Afuecheta (Collaborator), Stephen Chan (Collaborator)

Research output: Contribution to journal › Article › peer-review

Abstract

Flexible models for the innovation process of GARCH models have been limited. Here, we show the flexibility of two recently proposed distribution due Zhu and Zhinde-Walsh(J Econom 148:86-99, 2009) and Zhu and Gabraith (J Econom 157:297-305, 2010) by means of GARCH modeling of five popular commodities. The five commodities considered are Cocoa bean, Brent crude oil, West Texas intermediate crude oil, Gold and Silver. For each commodity, one of tht two models due to Zhu and Zhinde-Walsh (2009) and Zhu and Galbraith (2010) is shown to perform better than those commonly known.

Original language	English
Pages (from-to)	1691-1712
Number of pages	21
Journal	Empirical Economics
Volume	48
DOIs	https://doi.org/10.1007/s00181-014-0845-3
Publication status	Published - 22 Jul 2014

Keywords

Cocoa bean, GARCH models, Gold,Oil, Silver

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10.1007/s00181-014-0845-3

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abstract = "Flexible models for the innovation process of GARCH models have been limited. Here, we show the flexibility of two recently proposed distribution due Zhu and Zhinde-Walsh(J Econom 148:86-99, 2009) and Zhu and Gabraith (J Econom 157:297-305, 2010) by means of GARCH modeling of five popular commodities. The five commodities considered are Cocoa bean, Brent crude oil, West Texas intermediate crude oil, Gold and Silver. For each commodity, one of tht two models due to Zhu and Zhinde-Walsh (2009) and Zhu and Galbraith (2010) is shown to perform better than those commonly known.",

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AB - Flexible models for the innovation process of GARCH models have been limited. Here, we show the flexibility of two recently proposed distribution due Zhu and Zhinde-Walsh(J Econom 148:86-99, 2009) and Zhu and Gabraith (J Econom 157:297-305, 2010) by means of GARCH modeling of five popular commodities. The five commodities considered are Cocoa bean, Brent crude oil, West Texas intermediate crude oil, Gold and Silver. For each commodity, one of tht two models due to Zhu and Zhinde-Walsh (2009) and Zhu and Galbraith (2010) is shown to perform better than those commonly known.

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ER -

Garch modeling of five popular commodities

Abstract

Keywords

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