price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

for arithmetic Asian options with discrete and continuous monitoring featuring stochastic volatility and discontinuous … properties. We here estimate the stochastic volatility model with price jumps as well as the nested model with omitted jumps to … NYMEX WTI futures vanilla options. We find that price jumps and stochastic volatility are necessary to fit options. Despite …

In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main … innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main … effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time …

This paper explores the predictive ability of volatility in the crude oil market. A comparison in the CBOE crude oil … volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily … effect in crude oil, while stochastic volatility models examine the series dependence and heavy-tailed distribution. The …