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Energy Commodity Volatility Modelling using GARCH

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atmire.migration.oldid562
dc.contributor.advisorSerletis, Apostolos
dc.contributor.authorEfimova, Olga
dc.date.accessioned2013-01-09T22:29:24Z
dc.date.available2013-06-15T07:01:43Z
dc.date.issued2013-01-09
dc.date.submitted2013en
dc.description.abstractThis thesis investigates the empirical properties of oil, natural gas and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from U.S. wholesale markets for the period from 2000 to 2012. The key contribution to the literature is the estimation of trivariate BEKK, CCC and DCC models that allow us to observe spillovers and interactions among energy markets. We evaluate the performance of each model with a range of diagnostic and forecast performance tests, and also include graphs for short- and long-term forecasts.en_US
dc.identifier.citationEfimova, O. (2013). Energy Commodity Volatility Modelling using GARCH (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/25885en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/25885
dc.identifier.urihttp://hdl.handle.net/11023/406
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEconomics--Finance
dc.subject.classificationGARCHen_US
dc.subject.classificationoil price volatilityen_US
dc.subject.classificationnatural gas price volatilityen_US
dc.subject.classificationelectricity price volatilityen_US
dc.subject.classificationvolatility modellingen_US
dc.titleEnergy Commodity Volatility Modelling using GARCH
dc.typemaster thesis
thesis.degree.disciplineEconomics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Arts (MA)
ucalgary.item.requestcopytrue

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