Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models

Descripción del Articulo

Documento de trabajo; 484
Detalles Bibliográficos
Autores: Fernández, Jean, Rodríguez, Gabriel
Formato: documento de trabajo
Fecha de Publicación:2020
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/176225
Enlace del recurso:http://repositorio.pucp.edu.pe/index/handle/123456789/176225
http://doi.org/10.18800/2079-8474.0484
Nivel de acceso:acceso abierto
Materia:Returns
Volatility
GARCH
Stochastic Volatility
Commodities
Bayesian Estimation
Fat Tails
Jumps
Leverage
http://purl.org/pe-repo/ocde/ford#5.02.00
id RPUC_b010d9391980cc89066bb6d9ad592a3b
oai_identifier_str oai:repositorio.pucp.edu.pe:20.500.14657/176225
network_acronym_str RPUC
network_name_str PUCP-Institucional
repository_id_str 2905
dc.title.es_ES.fl_str_mv Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
title Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
spellingShingle Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
Fernández, Jean
Returns
Volatility
GARCH
Stochastic Volatility
Commodities
Bayesian Estimation
Fat Tails
Jumps
Leverage
http://purl.org/pe-repo/ocde/ford#5.02.00
title_short Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
title_full Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
title_fullStr Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
title_full_unstemmed Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
title_sort Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
author Fernández, Jean
author_facet Fernández, Jean
Rodríguez, Gabriel
author_role author
author2 Rodríguez, Gabriel
author2_role author
dc.contributor.author.fl_str_mv Fernández, Jean
Rodríguez, Gabriel
dc.subject.es_ES.fl_str_mv Returns
Volatility
GARCH
Stochastic Volatility
Commodities
Bayesian Estimation
Fat Tails
Jumps
Leverage
topic Returns
Volatility
GARCH
Stochastic Volatility
Commodities
Bayesian Estimation
Fat Tails
Jumps
Leverage
http://purl.org/pe-repo/ocde/ford#5.02.00
dc.subject.ocde.none.fl_str_mv http://purl.org/pe-repo/ocde/ford#5.02.00
description Documento de trabajo; 484
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2021-05-05T21:57:40Z
dc.date.available.none.fl_str_mv 2021-05-05T21:57:40Z
dc.date.issued.fl_str_mv 2020-02
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
dc.type.other.none.fl_str_mv Documento de trabajo
format workingPaper
dc.identifier.uri.none.fl_str_mv http://repositorio.pucp.edu.pe/index/handle/123456789/176225
dc.identifier.doi.none.fl_str_mv http://doi.org/10.18800/2079-8474.0484
url http://repositorio.pucp.edu.pe/index/handle/123456789/176225
http://doi.org/10.18800/2079-8474.0484
dc.language.iso.es_ES.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:2079-8466
urn:issn:2079-8474
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/2.5/pe/
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/2.5/pe/
dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú. Departamento de Economía
dc.publisher.country.none.fl_str_mv PE
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str PUCP-Institucional
collection PUCP-Institucional
bitstream.url.fl_str_mv https://repositorio.pucp.edu.pe/bitstreams/c8ddfb93-12de-48cd-b820-7d6ce17d2b50/download
https://repositorio.pucp.edu.pe/bitstreams/c73c8f2e-d7c6-4827-ba87-115bd2f20c1e/download
https://repositorio.pucp.edu.pe/bitstreams/58637e03-3943-4f2e-a751-c1da9d45d9c9/download
https://repositorio.pucp.edu.pe/bitstreams/ba7b63d8-e777-4bbc-b0f4-5b99a38bb749/download
https://repositorio.pucp.edu.pe/bitstreams/93f3b70a-b9a1-4f24-9af0-99b5cb29d446/download
bitstream.checksum.fl_str_mv 3655808e5dd46167956d6870b0f43800
8a4605be74aa9ea9d79846c1fba20a33
a27de9b529469e64ec22d28b65852ff0
f595bcbbc968f7a325752132878dd293
8825762e42e5126b5d999847d0991897
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv Repositorio Institucional de la PUCP
repository.mail.fl_str_mv repositorio@pucp.pe
_version_ 1835639832145035264
spelling Fernández, JeanRodríguez, Gabriel2021-05-05T21:57:40Z2021-05-05T21:57:40Z2020-02http://repositorio.pucp.edu.pe/index/handle/123456789/176225http://doi.org/10.18800/2079-8474.0484Documento de trabajo; 484Seven GARCH and stochastic volatility (SV) models are used to model and compare empirically the volatility of returns on four commodities: gold, copper, oil, and natural gas. The results show evidence of fat tails and random jumps created by supply/demand imbalances, international instability episodes, geopolitical tensions, and market speculation, among other factors. We also find evidence of a leverage effect in oil and copper, resulting from their dependence on world economic activity; and of an inverse leverage effect in gold and natural gas, consistent with the formerís role as safe asset and with uncertainty about the latterís future supply. Additionally, in most cases there is no evidence of an impact of volatility on the mean. Finally, we find that the best-performing return volatility models are GARCH-t for gold, SV-t for copper and oil, and SV with leverage effects (SV-L) for natural gas.engPontificia Universidad Católica del Perú. Departamento de EconomíaPEurn:issn:2079-8466urn:issn:2079-8474info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/ReturnsVolatilityGARCHStochastic VolatilityCommoditiesBayesian EstimationFat TailsJumpsLeveragehttp://purl.org/pe-repo/ocde/ford#5.02.00Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Modelsinfo:eu-repo/semantics/workingPaperDocumento de trabajoreponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPhttps://orcid.org/0000-0002-1740-6037https://orcid.org/0000-0003-1174-9642CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8811https://repositorio.pucp.edu.pe/bitstreams/c8ddfb93-12de-48cd-b820-7d6ce17d2b50/download3655808e5dd46167956d6870b0f43800MD52falseAnonymousREADLICENSElicense.txtlicense.txttext/plain; charset=utf-81748https://repositorio.pucp.edu.pe/bitstreams/c73c8f2e-d7c6-4827-ba87-115bd2f20c1e/download8a4605be74aa9ea9d79846c1fba20a33MD53falseAnonymousREADORIGINALDDD484.pdfDDD484.pdfTexto completoapplication/pdf1549887https://repositorio.pucp.edu.pe/bitstreams/58637e03-3943-4f2e-a751-c1da9d45d9c9/downloada27de9b529469e64ec22d28b65852ff0MD54trueAnonymousREADTHUMBNAILDDD484.pdf.jpgDDD484.pdf.jpgIM Thumbnailimage/jpeg43620https://repositorio.pucp.edu.pe/bitstreams/ba7b63d8-e777-4bbc-b0f4-5b99a38bb749/downloadf595bcbbc968f7a325752132878dd293MD55falseAnonymousREADTEXTDDD484.pdf.txtDDD484.pdf.txtExtracted texttext/plain101518https://repositorio.pucp.edu.pe/bitstreams/93f3b70a-b9a1-4f24-9af0-99b5cb29d446/download8825762e42e5126b5d999847d0991897MD56falseAnonymousREAD20.500.14657/176225oai:repositorio.pucp.edu.pe:20.500.14657/1762252025-03-26 08:35:32.704http://creativecommons.org/licenses/by-nc-nd/2.5/pe/info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.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
score 13.914502
Nota importante:
La información contenida en este registro es de entera responsabilidad de la institución que gestiona el repositorio institucional donde esta contenido este documento o set de datos. El CONCYTEC no se hace responsable por los contenidos (publicaciones y/o datos) accesibles a través del Repositorio Nacional Digital de Ciencia, Tecnología e Innovación de Acceso Abierto (ALICIA).