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| Author: | Antoniou, A. Foster, A. J. |
| Title: | The effect of futures trading on spot price volatility: evidence for Brent Crude Oil using GARCH. |
| Journal: | Journal of Business Finance and Accounting
1992 : JUN, VOL. 19:4. p. 473-484 |
| Index terms: | FUTURES MARKETS OIL PRICES FINANCIAL MODELS |
| Language: | eng |
| Abstract: | Authors investigate the possible effects on the spot price volatility of Brent Crude Oil due to the introduction of a corresponding futures contract using the GARCH family of statistical models. For the purpose of comparison with the results generated by previous studies, they construct a preliminary model of volatility using regression techniques. This practice also serves to highlight the advantages of using the more relevant GARCH procedure. The main emphasis of the paper remains, however, the use of GARCH to model volatility. The main findings are that the degree of persistence of volatility in the spot market has fallen, and that the nature of volatility has changed since the onset of derivative trading. |
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