scholarly journals A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading

Energies ◽  
2019 ◽  
Vol 13 (1) ◽  
pp. 129 ◽  
Author(s):  
Oscar V. De la Torre-Torres ◽  
Evaristo Galeana-Figueroa ◽  
José Álvarez-García
Keyword(s):  
Natural Gas ◽  
Markov Switching ◽  
Gaussian Model ◽  
Garch Models ◽  
Trading Rule ◽  
Treasury Bills ◽  
Oil Market ◽  
Oil And Natural Gas

In this paper, we test the use of Markov-switching (MS) GARCH (MSGARCH) models for trading either oil or natural gas futures. Using weekly data from 7 January 1994 to 31 May 2019, we tested the next trading rule: to invest in the simulated commodity if the investor expects to be in the low-volatility regime at t + 1 or to otherwise hold the risk-free asset. Assumptions for our simulations included the following: (1) we assumed that the investors trade in a homogeneous (Gaussian or t-Student) two regime context and (2) the investor used a time-fixed, ARCH, or GARCH variance in each regime. Our results suggest that the use of the MS Gaussian model, with time-fixed variance, leads to the best performance in the oil market. For the case of natural gas, we found no benefit of using our trading rule against a buy-and-hold strategy in the three-month U.S. Treasury bills.

Risk modeling in crude oil market: a comparison of Markov switching and GARCH models

Kybernetes ◽  
2010 ◽  
Vol 39 (5) ◽  
pp. 750-769 ◽  
Author(s):  
Cuicui Luo ◽  
Luis A. Seco ◽  
Haofei Wang ◽  
Desheng Dash Wu
Keyword(s):  
Crude Oil ◽  
Markov Switching ◽  
Garch Models ◽  
Risk Modeling ◽  
Oil Market

scholarly journals The Analysis of Natural Gas and Crude Oil Market from the Global and EU Perspective

2012 ◽  
Vol 5 (18) ◽  
pp. 282-296
Author(s):  
Saleh Mothana Obadi ◽  
Matej Korček
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Supply And Demand ◽  
Oil Market ◽  
Natural Gas Development ◽  
Oil And Natural Gas ◽  
Gas Market ◽  
The One ◽  
The Impact ◽  
The Eu

Abstract This paper deals with the development of the crude oil and natural gas market in the world and especially in the EU. The analysis of the mentioned energy commodities are based on time serious statistical data and legislative documents and treaties adjusting the energy market. In this paper we analyze how the natural gas and crude oil as the two energy sources that are on the one hand most important in the energy mix and on the other hand least available within the very territory of EU itself therefore meaning the largest threat to the energy security of EU countries. We focus on analyzing of development of the worlds crude oil and natural gas development as the economic environment developed during last 20 year. Then we characterize what has EU done as the reaction on this development and finally we analyze the impact on EU in terms of supply and demand for natural gas and crude oil in first decade of 21st century. We found that, in 2009, the 66 % of EU natural gas imports were from four countries (Russia, Algeria, Norway and Nigeria) and the EU crude oil imports reached about 87 %.

Analyzing the financial and economic momentum as a result of changes in the interest rate

2020 ◽  
Vol 16 (9) ◽  
pp. 1656-1673
Author(s):  
V.V. Smirnov
Keyword(s):  
Interest Rate ◽  
Natural Gas ◽  
Central Bank ◽  
Crude Oil ◽  
Oil Prices ◽  
Global Capitalism ◽  
Positive Effects ◽  
Russian Economy ◽  
Oil And Natural Gas ◽  
The Interest Rate

Subject. The article discusses financial and economic momenta. Objectives. I determine financial and economic momenta as the interest rate changes in Russia. Methods. The study is based on a systems approach and the method of statistical analysis. Results. The Russian economy was found to strongly depend on prices for crude oil and natural gas, thus throwing Russia to the outskirts of the global capitalism, though keeping the status of an energy superpower, which ensures a sustainable growth in the global economy by increasing the external consumption and decreasing the domestic one. The devaluation of the national currency, a drop in tax revenue, etc. result from the decreased interest rate. They all require to increase M2 and the devalued retail loan in RUB, thus rising the GDP deflator. As for positive effects, the Central Bank operates sustainably, replenishes gold reserves and keeps the trade balance (positive balance), thus strengthening its resilience during a global drop in crude oil prices and the COVID-19 pandemic. The positive effects were discovered to result from a decreased in the interest rate, rather than keeping it low all the time. Conclusions and Relevance. As the interest rate may be, the financial and economic momentum in Russia depends on the volatility of the price for crude oil and natural gas. Lowering the interest rate and devaluing the national currency, the Central Bank preserves the resource structure of the Russian economy, strengthens its positions within the global capitalism and keeps its status of an energy superpower, thus reinforcing its resilience against a global drop in oil prices.

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