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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

Author

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  • Christopher F Baum

    (Boston College
    DIW Berlin)

  • Paola Zerilli

    (Department of Economics and Related Studies, University of York)

Abstract

We evaluate alternative models of the volatility of commodity futures prices based on high-frequency intraday data from the crude oil futures markets for the October 2001-December 2012 period. These models are implemented with a simple GMM estimator that matches sample moments of the realized volatility to the corresponding population moments of the integrated volatility. Models incorporating both stochastic volatility and jumps in the returns series are compared on the basis of the overall fit of the data over the full sample period and subsamples. We also find that jumps in the returns series add to the accuracy of volatility forecasts.

Suggested Citation

  • Christopher F Baum & Paola Zerilli, 2014. "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Boston College Working Papers in Economics 860, Boston College Department of Economics.
    • Handle: RePEc:boc:bocoec:860
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    References listed on IDEAS

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    More about this item

    Keywords

    stochastic volatility; commodity futures prices; crude oil futures;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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