Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159439
Authors: 
Marzo, Massimiliano
Zagaglia, Paolo
Year of Publication: 
2007
Series/Report no.: 
Quaderni - Working Paper DSE 598
Abstract: 
This paper studies the forecasting properties of linear GARCH models for closing-day futures prices on crude oil, first position, traded in the New York Mercantile Exchange from January 1995 to November 2005. In order to account for fat tails in the empirical distribution of the series, we compare models based on the normal, Student's t and Generalized Exponential distribution. We focus on out-of-sample predictability by ranking the models according to a large array of statistical loss functions. The results from the tests for predictive ability show that the GARCH-G model fares best for short horizons from one to three days ahead. For horizons from one week ahead, no superior model can be identified. We also consider out-ofsample loss functions based on Value-at-Risk that mimic portfolio managers and regulators' preferences. EGARCH models display the best performance in this case.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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