GARCH modeling of five popular commodities

Saralees Nadarajah; Emmanuel Afuecheta; Stephen Chan

doi:10.1007/s00181-014-0845-3

GARCH modeling of five popular commodities

Saralees Nadarajah^*
, Emmanuel Afuecheta
, Stephen Chan

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

14 Scopus citations

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.

Original language	English
Pages (from-to)	1691-1712
Number of pages	22
Journal	Empirical Economics
Volume	48
Issue number	4
DOIs	https://doi.org/10.1007/s00181-014-0845-3
State	Published - 1 Jun 2015
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2014, Springer-Verlag Berlin Heidelberg.

Keywords

Cocoa bean
GARCH models
Gold
Oil
Silver

ASJC Scopus subject areas

Statistics and Probability
Mathematics (miscellaneous)
Social Sciences (miscellaneous)
Economics and Econometrics

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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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AB - 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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ER -

GARCH modeling of five popular commodities

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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