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The efficiency of the oil futures market and the hedging effectiveness of symmetric vs. asymmetric GARCH models during periods of extreme conditional volatility

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The efficiency of the oil futures market and the hedging effectiveness of symmetric vs. asymmetric GARCH models during periods of extreme conditional volatility

El-Khoury, Mario (2006) The efficiency of the oil futures market and the hedging effectiveness of symmetric vs. asymmetric GARCH models during periods of extreme conditional volatility. Masters thesis, Concordia University.

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Abstract

This paper investigates the efficiency of the NYMEX Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased predictors of future spot prices, including over the period prior the onset of the Iraqi war and until the formation of the new Iraqi government on April 2005. Both futures and spot prices exhibit asymmetric volatility characteristics. Hedging performance is improved when asymmetries are accounted for.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:El-Khoury, Mario
Pagination:vi, 43 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc. Admin.
Program:John Molson School of Business
Date:2006
Thesis Supervisor(s):Switzer, Lorne
ID Code:8824
Deposited By:Concordia University Libraries
Deposited On:18 Aug 2011 14:36
Last Modified:18 Aug 2011 14:36
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