• Media type: E-Book
  • Title: Volatility Modeling for Spot and Futures of Crude Oil – Evidence from Pakistan
  • Contributor: Rafay, Abdul [Author]; Gilani, Usman [Other]; Naeem, Muhammad [Other]; Ejaz, Maham [Other]
  • Published: [S.l.]: SSRN, [2015]
  • Extent: 1 Online-Ressource (12 p)
  • Language: English
  • Origination:
  • Footnote: In: Abasyn Journal of Social Sciences, Vol. 8, No. 2, 2015
    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 15, 2015 erstellt
  • Description: 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
  • Access State: Open Access