haku: @indexterm Future / yhteensä: 937
viite: 96 / 937
| Tekijä: | McKenzie, M. D. |
| Otsikko: | Power ARCH modelling of commodity futures data on the London Metal Exchange |
| Lehti: | European Journal of Finance
2001 : MAR, VOL. 7:1, p. 22-38 |
| Asiasana: | FINANCE MODELS FUTURE FUTURES MARKETS |
| Kieli: | eng |
| Tiivistelmä: | This paper considers the ability of the Power GARCH class of models to capture the stylized features of volatility in a range of commodity futures prices traded on the London Metals Exchange (LME). The results of this procedure suggest that asymmetric effects are not generally present in the LME futures data. Further, unlike stock market data which is well described by the model, futures data is not as well described by the APGARCH model. Nested within the APGARCH model are several other models from the ARCH family. This paper uses the standard log likelihood procedure to conduct pairwise comparisons of the relative merits of each and the results suggest that it is the Taylor GARCH model which performs best. |
SCIMA