GARCH Models in Forecasting the Volatility of the World’s Oil Prices

2017 ◽  
pp. 673-683 ◽  
Author(s):  
Nguyen Trung Hung ◽  
Nguyen Ngoc Thach ◽  
Le Hoang Anh
Keyword(s):  
Oil Prices ◽  
Garch Models

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 31-44
Author(s):  
Nenubari Ikue John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

A Comparative Study on Box-Jenkins and Garch Models in Forecasting Crude Oil Prices

2011 ◽  
Vol 11 (7) ◽  
pp. 1129-1135 ◽  
Author(s):  
Siti Roslindar Yaziz ◽  
Maizah Hura Ahmad ◽  
Lee Chee Nian ◽  
Noryanti Muhammad
Keyword(s):  
Comparative Study ◽  
Crude Oil ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Prices

scholarly journals Application of ARIMA-GARCH Model for Prediction of Indonesian Crude Oil Prices

2020 ◽  
Vol 1 (1) ◽  
pp. 25-33
Author(s):  
Sukono Sukono ◽  
Emah Suryamah ◽  
Fujika Novinta S
Keyword(s):  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Moving Average ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Price ◽  
Price Forecast ◽  
Crude Oil Prices ◽  
Auto Regressive

Crude oil is one of the most important energy commodities for various sectors. Changes in crude oil prices will have an impact on oil-related sectors, and even on the stock price index. Therefore, the prediction of crude oil prices needs to be done to avoid the future prices of these non-renewable natural resources to increase dramatically. In this paper, the prediction of crude oil prices is carried out using the Auto-Regressive Integrated Moving Average (ARIMA) and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models. The data used for forecasting are Indonesian Crude Price (ICP) crude oil data for the period January 2005 to November 2012. The results show that the data analyzed follows the ARIMA(1,2,1)-GARCH(0,3) model, and the crude oil price forecast for December 2012 is 105.5528 USD per barrel. The prediction results of crude oil prices are expected to be important information for all sectors related to crude oil.

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates

2019 ◽  
Vol 1 (2) ◽  
pp. 01-14
Author(s):  
Nenubari Ikue-John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long term response of exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

scholarly journals Comparative Performance of ARIMA and GARCH Model in Forecasting Crude Oil Price Data

2021 ◽  
pp. 251-275
Author(s):  
Atanu, Enebi Yahaya ◽  
Ette, Harrison Etuk ◽  
Amos, Emeka
Keyword(s):  
Time Series ◽  
Crude Oil ◽  
Moving Average ◽  
Oil Prices ◽  
Oil Price ◽  
Garch Models ◽  
Crude Oil Price ◽  
Autoregressive Integrated Moving Average ◽  
Crude Oil Prices ◽  
Best Fit

This study compares the performance of Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroskedasticity models in forecasting Crude Oil Price data as obtained from (CBN 2019) Statistical Bulletin.  The forecasting of Crude Oil Price, plays an important role in decision making for the Nigeria government and all other sectors of her economy. Crude Oil Prices are volatile time series data, as they have huge price swings in a shortage or an oversupply period. In this study, we use two time series models which are Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heterocedasticity (GARCH) models in modelling and forecasting Crude Oil Prices. The statistical analysis was performed by the use of time plot to display the trend of the data, Autocorrelation Function (ACF), Partial Autocorrelation Functions (PACF), Dickey-Fuller test for stationarity, forecasting was done based on the best fit models for both ARIMA and GARCH models. Our result shows that ARIMA (3, 1, 2) is the best ARIMA model to forecast monthly Crude Oil Price and we also found GARCH (1, 1) model is the best GARCH model and using a specified set of parameters, GARCH (1, 1) model is the best fit for our concerned data set.

scholarly journals Comparative Modelling of Price Volatility in Nigerian Crude Oil Markets Using Symmetric and Asymmetric GARCH Models

2021 ◽  
pp. 35-54
Author(s):  
Deebom Zorle Dum ◽  
Mazi Yellow Dimkpa ◽  
Chims Benjamin Ele ◽  
Richard Igbudu Chinedu ◽  
George Laurretta Emugha
Keyword(s):  
Crude Oil ◽  
Garch Model ◽  
Price Volatility ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Egarch Model ◽  
Asymmetric Garch ◽  
Student’S T

The study aimed at developing an appropriate GARCH model for modelling in Nigerian Crude Oil Prices Markets using symmetric and Asymmetric GARCH models while the specific objectives of the study include to: build an appropriate Symmetric and asymmetric Generalized Autoregressive Conditional Heteroskedacity (GARCH) model for Nigerian Crude Oil Prices, compare the advantage of using Symmetric and Asymmetric GARCH.  The data for the study was extracted from the Central Bank of Nigeria online statistical database starting from January, 1982 to December, 2018. The software used in estimating the parameters of the model is Econometric view (Eview) software version ten (10). Two classes of models were used in the study; they are symmetric and Asymmetric GARCH models. The results of the estimated models revealed that Asymmetric GARCH model (EGARCH (1,1) in student’s-t error assumption gave a better fit than the first order Symmetric GARCH models. Also, Using EGARCH (1,1) models with their corresponding error distribution in estimating crude oil price was found that the larger the size of the estimated news components of the model, the higher the negative news associated with high impact of volatility. This means that conditional volatility estimated using EGARCH model has strong asymmetric characteristic which is prone to news sensitivity. Based on the above findings, recommendations were made in the study.

DCC-Garch Models Using Islamic Market and European Market Indices

2017 ◽  
Vol 04 ◽  
pp. 01-20
Author(s):  
Sabbah Gueddoudj ◽  
Keyword(s):  
European Market ◽  
Garch Models

What Does Rent Give to Federal Budget (on the Russia's Budget Dependence upon "Oil Dollars")

2004 ◽  
pp. 51-69 ◽  
Author(s):  
E. Sharipova ◽  
I. Tcherkashin
Keyword(s):  
Oil And Gas ◽  
Strong Dependence ◽  
Oil Prices ◽  
Federal Budget ◽  
Oil And Gas Industry ◽  
Gas Industry ◽  
Resource Rent ◽  
Tax Legislation ◽  
Russian Economy ◽  
The Government

Federal tax revenues from the main sectors of the Russian economy after the 1998 crisis are examined in the article. Authors present the structure of revenues from these sectors by main taxes for 1999-2003 and prospects for 2004. Emphasis is given to an increasing dependence of budget on revenues from oil and gas industries. The share of proceeds from these sectors has reached 1/3 of total federal revenues. To explain this fact world oil prices dynamics and changes in tax legislation in Russia are considered. Empirical results show strong dependence of budget revenues on oil prices. The analysis of changes in tax legislation in oil and gas industry shows that the government has managed to redistribute resource rent in favor of the state.

The Instruments of the Stabilization Fund: The Experience and Prospects

2004 ◽  
pp. 65-75 ◽  
Author(s):  
Mst. Afanasiev
Keyword(s):  
Economic Growth ◽  
Oil Prices ◽  
Federal Budget ◽  
Future Generations ◽  
The World

Сreation of the stabilization fund has become the main feature of the Russian federal budget for 2004. This instrument provides the opportunity to reduce the dependence of budget incomes on the fluctuations of oil prices. The accepted model does not consider the world experience in building of such funds as the "funds for future generations", and the increase of other revenues from the growing oil prices as well. That can lead to shortening and immobilization of the financial basis of economic growth.

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