{"id":9058,"date":"2022-07-27T06:49:57","date_gmt":"2022-07-27T06:49:57","guid":{"rendered":"https:\/\/depocen.org\/publications\/forecasting-the-conditional-volatility-of-oil-spot-and-futuresprices-with-structural-breaks-and-long-memory-models\/"},"modified":"2022-07-27T06:49:57","modified_gmt":"2022-07-27T06:49:57","slug":"forecasting-the-conditional-volatility-of-oil-spot-and-futuresprices-with-structural-breaks-and-long-memory-models","status":"publish","type":"publications","link":"https:\/\/depocen.org\/vi\/publications\/forecasting-the-conditional-volatility-of-oil-spot-and-futuresprices-with-structural-breaks-and-long-memory-models\/","title":{"rendered":"Forecasting the conditional volatility of oil spot and futures\r\nprices with structural breaks and long memory models"},"content":{"rendered":"<p>This paper investigates whether structural breaks and long memory are relevant features in modeling and<br \/>\nforecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear<br \/>\nGARCH, GARCH with structural breaks and FIGARCH. By relying on a modified version of Inclan and Tiao<br \/>\n(1994)&#8217;s iterated cumulative sum of squares (ICSS) algorithm, our results can be summarized as follows. First,<br \/>\nwe provide evidence of parameter instability in five out of twelve GARCH-based conditional volatility processes<br \/>\nfor energy prices. Second, long memory is effectively present in all the series considered and a FIGARCH model<br \/>\nseems to better fit the data, but the degree of volatility persistence diminishes significantly after adjusting for<br \/>\nstructural breaks. Finally, the out-of-sample analysis shows that forecasting models accommodating for<br \/>\nstructural break characteristics of the data often outperform the commonly used short-memory linear volatility<br \/>\nmodels. It is however worth noting that the long memory evidence found in the in-sample period is not strongly<br \/>\nsupported by the out-of-sample forecasting exercise.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1564,1566,1768],"topic_publications":[],"class_list":["post-9058","publications","type-publications","status-publish","hentry","author_publications-mohamed-el-hedi-arouri","author_publications-duc-khuong-nguyen","author_publications-amine-lahiani"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications\/9058","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/media?parent=9058"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/cate_publications?post=9058"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/author_publications?post=9058"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/topic_publications?post=9058"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}