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Empirical Economics

Erschienen in:

01.06.2015

GARCH modeling of five popular commodities

verfasst von: Saralees Nadarajah, Emmanuel Afuecheta, Stephen Chan

Erschienen in: Empirical Economics | Ausgabe 4/2015

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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 distributions due to Zhu and Zinde-Walsh (J Econom 148:86–99, 2009) and Zhu and Galbraith (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 the two models due to Zhu and Zinde-Walsh (2009) and Zhu and Galbraith (2010) is shown to perform better than those commonly known.

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Titel: GARCH modeling of five popular commodities
verfasst von: Saralees Nadarajah
Emmanuel Afuecheta
Stephen Chan
Publikationsdatum: 01.06.2015
Verlag: Springer Berlin Heidelberg
Erschienen in: Empirical Economics / Ausgabe 4/2015
Print ISSN: 0377-7332
Elektronische ISSN: 1435-8921
DOI: https://doi.org/10.1007/s00181-014-0845-3

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