Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures
(2015) NEKH01 20151Department of Economics
- Abstract
- This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. The relationship is however still, due to the risk premium, ineffiecient and biased. We conclude that our good results comes from the horizon of estimation optimal due to macroeconomic powers, we also believe that the model in itself can gain further strenght with a revision of the lag structure in the components.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/7373580
- author
- Lindeke, Niklas LU
- supervisor
-
- Rikard Green LU
- organization
- course
- NEKH01 20151
- year
- 2015
- type
- M2 - Bachelor Degree
- subject
- keywords
- Volatility, Brent Crude, Oil, HAR-RV, Implied Volatility
- language
- English
- id
- 7373580
- date added to LUP
- 2015-06-30 15:26:28
- date last changed
- 2015-06-30 15:26:28
@misc{7373580, abstract = {{This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. The relationship is however still, due to the risk premium, ineffiecient and biased. We conclude that our good results comes from the horizon of estimation optimal due to macroeconomic powers, we also believe that the model in itself can gain further strenght with a revision of the lag structure in the components.}}, author = {{Lindeke, Niklas}}, language = {{eng}}, note = {{Student Paper}}, title = {{Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures}}, year = {{2015}}, }