GARCH Modeling for Five Popular Commodities

• Activity Number: 443
• Type: Contributed
• Date/Time: Tuesday, August 2, 2016 : 2:00 PM to 3:50 PM
• Sponsor: Section on Risk Analysis
• Author(s): Stephen Chan*
• Companies: University of Manchester
• Keywords: Cocoa bean ; GARCH models ; Gold ; Oil ; Silver

Abstract

Flexible models for the innovation process of GARCH models have been limited. Here, we show the flexibility of two recently proposed distributions due to Zhu and Zinde-Walsh (J Econom 148:86-99, 2009) and Zhu and Galbraith (J Econom 157:297-305, 2010) by means of GARCH modeling of five popular commodities. The five commodities considered are Cocoa bean, Brent crude oil, West Texas intermediate crude oil, Gold and Silver. For each commodity, one of the two models due to Zhu and Zinde-Walsh (2009) and Zhu and Galbraith (2010) is shown to perform better than those commonly known.