TY - JOUR
T1 - Asymmetry and persistence of energy price volatility
AU - Hasan, Mohammad Z.
AU - Akhter, Selim
AU - Rabbi, Fazle
PY - 2013
Y1 - 2013
N2 - This study estimates and compares the asymmetry and persistence of volatility of crude oil, natural gas and coal- three main sources of energy. This study also evaluates the effect of recent Global Financial Crisis (GFC) on the return and volatility of these energy prices. Threshold GARCH (TGARCH) and fractionally integrated GARCH (FIGARCH) model are employed to facilitate the study. The estimated results show that coal return volatility exhibits strong mean reversion whereas crude oil and natural gas return volatility endures shocks for relatively higher period. The estimated results also confirm that volatility of crude oil and natural gas increases after positive shocks in prices.
AB - This study estimates and compares the asymmetry and persistence of volatility of crude oil, natural gas and coal- three main sources of energy. This study also evaluates the effect of recent Global Financial Crisis (GFC) on the return and volatility of these energy prices. Threshold GARCH (TGARCH) and fractionally integrated GARCH (FIGARCH) model are employed to facilitate the study. The estimated results show that coal return volatility exhibits strong mean reversion whereas crude oil and natural gas return volatility endures shocks for relatively higher period. The estimated results also confirm that volatility of crude oil and natural gas increases after positive shocks in prices.
UR - http://handle.uws.edu.au:8081/1959.7/531629
UR - http://article.sapub.org/10.5923.j.ijfa.20130207.05.html
U2 - 10.5923/j.ijfa.20130207.05
DO - 10.5923/j.ijfa.20130207.05
M3 - Article
SN - 2168-4812
VL - 2
SP - 373
EP - 378
JO - International Journal of Finance and Accounting
JF - International Journal of Finance and Accounting
IS - 7
ER -