Views
60
Downloands
23
In conjunction with the recent alternative models, a wide literature has been established for volatility modeling in finance theory. In this study, we examine return volatility of Brent oil returns through GARCH, EGARCH, GJR-GARCH and MRS-GARCH models. As a preliminary test concerning the potential regimes, first, we use modified ICSS test in order to examine the existence of breaks in the variance of return series. All volatility models are formed under normal, GED and student-t distributions. According to the AIC and BIC values, MRS-GARCH model outperforms all other alternative models. Another interesting result is the failure of the models that formed under normal distribution.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
Article Detail 
Similar Articles
Journal Information
Listen Paper
Cite
Print This Page
Share
Mendeley