Volatility Modeling for Spot and Futures of Crude Oil–Evidence from Pakistan.

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dc.contributor.authorRafay, Abdul
dc.contributor.authorJaved Gilani, Usman
dc.contributor.authorNaeem, Muhammad Abu Bakar
dc.contributor.authorIjaz, Maham
dc.date.accessioned2018-10-19T11:31:23Z
dc.date.available2018-10-19T11:31:23Z
dc.date.issued2015
dc.description.abstractIn 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.en_US
dc.identifier.citationRafay, A., Gilani, U. J., Naeem, M. A. B., & Ejaz, M. (2015). Volatility Modeling for Spot and Futures of Crude Oil–Evidence from Pakistan. Abasyn University Journal of Social Sciences, 8(2), 298‐309. (Abdul Rafay, Usman Javed Gilani, Muhammad Abu Bakar Naeem and Maham Ijaz) (HEC Recognized X Category)en_US
dc.identifier.urihttps://escholar.umt.edu.pk/handle/123456789/3364
dc.language.isoenen_US
dc.publisherAbasyn University Journal of Social Sciences.en_US
dc.subjectFinanceen_US
dc.subjectAsymmetry, Crude Oil, EGARCH, Shock Persistence, Volatilityen_US
dc.titleVolatility Modeling for Spot and Futures of Crude Oil–Evidence from Pakistan.en_US
dc.typeArticleen_US
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