A systematic modelling strategy for futures markets volatility
Ana Filipa Carvalho,
Jose Sa da Costa and
Jose Assis Lopes
Applied Financial Economics, 2006, vol. 16, issue 11, 819-833
Abstract:
Over the past decade, econometric modelling of the volatility clustering phenomenon has been a very active area of research and several new approaches have been proposed and tested. Given the ever greater role of futures markets in risk management in modern economic theory, it seems advisable to formulate a systematic methodology for modelling these financial tools. In this paper, using soybean futures data, a systematic modelling strategy is proposed that takes into account the various aspects that should be incorporated in a bona fide volatility model. Several volatility models are analysed and compared in terms of their in-sample fit adequacy and predictive ability. Special attention is devoted to the asymmetric effect that the arrival of news may have on volatility. The proposed approach is sufficiently broad to be applied to other futures markets.
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100500426408 (text/html)
Access to full text is restricted to subscribers.
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:taf:apfiec:v:16:y:2006:i:11:p:819-833
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/09603100500426408
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().