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Activity Number:
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130
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Type:
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Contributed
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Date/Time:
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Monday, August 3, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304667 |
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Title:
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Volatility and Jump Dynamics in US Energy Futures Markets
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Author(s):
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James E. Gentle*+ and Carl J. Bjursell and George H.K. Wang
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Companies:
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George Mason University and George Mason University
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Address:
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, Fairfax, VA, 22030,
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Keywords:
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realized variation ; bipower variation ; jump statistics ; energy futures price behavior ; news events
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Abstract:
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We apply a nonparametric method based on realized and bipower variations calculated from intraday data to identify jumps in daily futures prices of crude oil, heating oil and natural gas contracts traded on the New York Mercantile Exchange. The sample period covers January 1990 to January 2008. Alternative methods such as staggered returns and optimal sampling frequency methods are used to remove effects of microstructure noise biases on the tests against detecting jumps. Our empirical work documents trends and seasonality in volatility components and relative contribution of jumps to total variation. We find that the jump component is less persistent than the continuous component and that significant jumps produce a transitory surge in volatility with a strong reversal in volatility over the following days. Large jumps are often associated with important energy inventory announcements.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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