Forecasting Crude Oil Future Volatilities with a Threshold Zero-Drift GARCH Model
The recent price crash of the New York Mercantile Exchange (NYMEX) crude oil futures contract, which occurred on 20 April 2020, has caused history-writing movements of relative prices. For instance, the West Texas Intermediate (WTI) experienced a negative price. Explosive heteroskedasticity is also...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-08-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/15/2757 |