Rafay, Abdul
[Verfasser:in]
;
Gilani, Usman
[Sonstige Person, Familie und Körperschaft];
Naeem, Muhammad
[Sonstige Person, Familie und Körperschaft];
Ejaz, Maham
[Sonstige Person, Familie und Körperschaft]
Volatility Modeling for Spot and Futures of Crude Oil – Evidence from Pakistan
Anmerkungen:
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
Beschreibung:
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