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Oil Products and the Volatility Index: Bivariate Volatility Relationships Within a T-GARCH Model

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dc.contributor.author Ben Sita, Bernard
dc.date.accessioned 2017-07-25T11:22:40Z
dc.date.available 2017-07-25T11:22:40Z
dc.identifier.uri http://hdl.handle.net/10725/5964
dc.description.abstract I provide, in this paper, evidence on the contribution of crude oil excess volatility to the volatility index. Crude oil leads the volatility index by 16 basis points (BP) 6 months ahead of time. This leadership is reversal and covers the period from January 21, 2000 to the end of 2011. The lagged and the contemporaneous effects amount to 35BP and 21BP, respectively. Moreover, I provide volatility quantities that would spill over from crude oil to refined oil products, and from crude oil to the volatility index. Based on a T-GARCH model augmented with correlation-weighted volatility ratios, I document quantities that can be useful in program trading. en_US
dc.language.iso en en_US
dc.title Oil Products and the Volatility Index: Bivariate Volatility Relationships Within a T-GARCH Model en_US
dc.type Conference Paper / Proceeding en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.description.physdesc 28 p. en_US
dc.keywords Oil Products en_US
dc.keywords Volatility Spillover en_US
dc.keywords Volatility Index en_US
dc.keywords GARCH en_US
dc.identifier.doi http://dx.doi.org/10.2139/ssrn.2065321
dc.identifier.ctation Ben Sita, B. (2012). Oil Products and the Volatility Index: Bivariate Volatility Relationships Within a T-GARCH Model. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2065321 en_US
dc.publication.date 2012 en_US
dc.author.affiliation Lebanese American University en_US


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