Financial time series modelling of trends and patterns in the energy markets
Date
2016Author
Aduda, Jane
Weke, Patrick
Ngare, Philip
Mwaniki, Joseph
Type
ArticleLanguage
enMetadata
Show full item recordAbstract
Precise recognition of a time series path is important to policy makers, statisticians, economists, traders, hedgers and speculators alike. The correct time series path is also a key ingredient in pricing models. This study uses daily futures prices of crude oil and other distillate fuels. This paper considers the statistical properties of energy futures and spot prices and investigates the trends that underlie the price dynamics in order to gain further insights into possible nuances of price discovery and energy market dynamics. The family of ARMA-GARCH models was explored. The trends depict time varying variability and persistence of oil price shocks. The return series conform to a constant mean model with GARCH variance.
URI
http://www.scirp.org/journal/PaperInformation.aspx?paperID=66652http://hdl.handle.net/11295/100740
Citation
Aduda, Jane, et al. "Financial Time Series Modelling of Trends and Patterns in the Energy Markets." Journal of Mathematical Finance 6.02 (2016): 324.Publisher
University of Nairobi
Rights
Attribution-NonCommercial-NoDerivs 3.0 United StatesUsage Rights
http://creativecommons.org/licenses/by-nc-nd/3.0/us/Collections
The following license files are associated with this item: