's dynamic properties may lead to misestimation of the intraday spot volatility. …

the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria …. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is … and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the …

In this paper, we study the methods of combining different volatility forecasts using various GARCH models. Given that … the major risk exposure for many investors in energy is the volatility of the electricity price, our motivation stems from … the fact that there is no single best model for forecasting such volatility. Ample evidence suggests that most of the …

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different … ; Energy markets ; Lévy processes ; Mean-reversion ; Spikes ; Stochastic volatility ; GARCH …

process, such as volatility persistence, breaks in the volatility process and heavy-tailed distributions, we investigate the …. Emphasis is given to short-term forecasting of prices and volatility. We find that MS-GARCH models distinguish well between two … states and that the volatility processes in the states are clearly different. This finding can be explained by the EU ETS …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

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 …

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic … Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe … and WTI in America are compared. OVX index is able to provide the optimal forecast for the volatility of Brent's future …