Amine Lahiani

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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long...

Xuất bản: 27 July, 2022

Mohamed El Hedi Arouri, Duc Khuong Nguyen, Mohamed El Hedi Arouri, Duc Khuong Nguyen, Amine Lahiani, Amine Lahiani

This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks...

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