Analyzing the volatility of crude oil price by regime switching GARCH

• Main Authors: Ren-Cheng Hwang, 黃任晟
• Other Authors: Chung-Jen Yang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/21236871814682906446

碩士 === 銘傳大學 === 財務金融學系碩士班 === 98 === In this paper we compare a set of different standard GARCH models with a group of Markov Regime-switch GARCH in terms of their ability of analysis the future price of crude oil. In this paper we adopted three difference prices. We adopted daily, weekly and monthly price. We want to find out the relationship between price frequency and volatility. Though the evidence we could find that each kind of price has characteristics of fat tail, volatility cluster and leverage effect. Besides, we found that daily price and weekly price has characteristic of regime switch. Daily price has low persistence of shock and low ergodic probability. It means that daily price usually has low volatility and if price going to the high volatility regime it would go back to the low volatility regime soon. But weekly price has high persistence on shock. Its shock on price would persist longer. But monthly price do not has the feature of regime switch. Because it’s price always exist in the high volatility regime.