Financial Time Series Modelling of Trends and Patterns in the Energy Markets

Status: 
Past

Abstract
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.

AttachmentSize
JMF_2016052314172640.pdf2.83 MB

Message From the Director

Notice Board

Notices

Community Outreach

Contact Us

School of Mathematics, CBPS College.

P. O. Box 30197 - 00100
Tel: 254-02-4445751.

Mobile no :0780-834766.
Email: maths@uonbi.ac.ke.

Facebook

twitter:@uon_maths

 

UoN Website | UoN Repository | ICTC Website


Copyright © 2017. ICT WebTeam, University of Nairobi