Abasyn Journal of Social Sciences. Vol.8 No.2

Volatility Modeling for Spot and Futures of Crude Oil – Evidence from Pakistan

Abdul Rafay, Usman Javed Gilani, Muhammad Abu Bakar Naeem, Maham Ijaz

1 Associate Professor, Department of Finance @ SBE, University of Management & Technology (UMT),.
2 Assistant Professor, Department of Finance @ SBE, University of Management & Technology (UMT),
3 MS Scholar, University of Management & Technology (UMT),
4 MS Scholar, Department of Finance @ SBE, University of Management & Technology (UMT)




 



Abstract
In this article, we study the volatility of Spots and Futures of Crude Oil using daily data from the period 2010-2013. We examine both the Crude Oil Spots and Crude Oil Futures traded on the  Pakistan Mercantile Exchange. Our main findings suggest that (1) shocks tend to persist over a long period of time for both Crude Oil Spots and Crude Oil Futures; and (2) shocks have  asymmetric effect on the volatility. Hence our findings indicate that behavior of Crude Oil Spots prices and Crude Oil Future prices tends to vary over time.
Keywords: Asymmetry, Crude Oil, EGARCH, Shock Persistence, Volatility

Received

Received Revised

Accepted

Available Online


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