Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
Descripción del Articulo
Documento de trabajo; 484
Autores: | , |
---|---|
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 |
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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 |
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info:eu-repo/semantics/openAccess |
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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 |
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reponame:PUCP-Institucional instname:Pontificia Universidad Católica del Perú instacron:PUCP |
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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. 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