Auer, Benjamin R. - In: Energy Economics 43 (2014) C, pp. 82-88
-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on … considered when forecasting crude oil volatility. (ii) Returns on the other hand tend to be lower on Mondays than on other … choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH. …
