Arouri, Mohamed El Hedi; Lahiani, Amine; Duc, Khuong Nguyen - Development and Policies Research Center (Depocen) - 2010
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 and FIGARCH. By relying on a modified...