文章基本信息

标题：Financial Time Series Modelling of Trends and Patterns in the Energy Markets
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作者：Jane Aduda ; Patrick Weke ; Philip Ngare 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2016
卷号：06
期号：02
页码：324-337
DOI：10.4236/jmf.2016.62027
语种：English
出版社：Scientific Research Publishing
摘要：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.
关键词：Financial Time Series;Trends and Patterns in Energy Markets;Futures and Spot Prices;ARCH Effects;ARMA-GARCH Models