Announcements

ECONOMICS SEMINAR -Fredj JAWADI

Author: CASE

KOÇ UNIVERSITY
FACULTY OF ADMINISTRATIVE SCIENCES AND ECONOMICS
ECONOMICS SEMINAR

 

30 October  2019-Wednesday

CASE 127

**************************************************************

 

Speaker  : Dr. Fredj JAWADI - Professor / Professeur des Universités 

Title       : Forecasting Energy Futures Volatility with Threshold Augmented Heterogeneous Autoregressive Jump Models 

Time       : 16:00-17:30

Place      : CASE 127 

Date       :30 October 2019- Wednesday 

 

Abstract: This study forecasts the volatility of two energy futures markets (oil and gas), using high-frequency data. We, first, disentangle volatility into continuous volatility and jumps. Second, we apply wavelet analysis to study the relationship between volume and the volatility measures for different horizons. Third, we augment the heterogeneous autoregressive (HAR) model of Corsi (2009) by nonlinearly including both jumps and volume. We then propose different empirical extensions of the HAR model. Our study shows that oil and gas volatilities nonlinearly depend on public information (jumps), private information (continuous volatility), and trading volume. Moreover, our threshold augmented HAR model with heterogeneous jumps and continuous volatility outperforms HAR model in forecasting volatility.