We investigate the use of fractionally integrated MGARCH models from a forecasting and a risk management perspective for energy prices. Our in-sample results show significant evidence of long memory decay in energy price returns volatilities, of leverage effects and of time-varying autocorrelations. The forecasting performance of the models is assessed by the SPA test, the Model Confidence Set and the Value at Risk
Forecasting energy price volatilities and comovements with fractionally integrated MGARCH models / Marchese, Malvina; DI IORIO, Francesca. - (2018). (Intervento presentato al convegno SIS2018: 49th Scientific Meeting of the Italian Statistical Society tenutosi a Università di Palermo nel 20-22 Giugno 2018).
Forecasting energy price volatilities and comovements with fractionally integrated MGARCH models
Francesca, Di Iorio
2018
Abstract
We investigate the use of fractionally integrated MGARCH models from a forecasting and a risk management perspective for energy prices. Our in-sample results show significant evidence of long memory decay in energy price returns volatilities, of leverage effects and of time-varying autocorrelations. The forecasting performance of the models is assessed by the SPA test, the Model Confidence Set and the Value at RiskI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
