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Predicting the heating oil spread, speculation in the oil market

Raihle, William (2006)
Department of Economics
Abstract
Abstract
Ky words: crack spread, mde oil, heating oil, mz,tLtivariate GARCH
This thesis was performed using daily one-month future prices from 1996 until 2004; on
the two assets that make up the heating oil spread i.e. crude oil and heating oil, traded on
the New York mercantile exchange (NYMEX).
The goal of the study was to, by designing future strategies and predicting the variance
and volatility of the assets, see if it is possible to profit on the spread. The variance and
covariance was prognosed using a multivariate GARCH model.
The bivariate model seemed to fit the data very well shown by the Akaike information
criterion - which was significant at the 1% level.
Several strategies were tested to see if they drastically could... (More)
Abstract
Ky words: crack spread, mde oil, heating oil, mz,tLtivariate GARCH
This thesis was performed using daily one-month future prices from 1996 until 2004; on
the two assets that make up the heating oil spread i.e. crude oil and heating oil, traded on
the New York mercantile exchange (NYMEX).
The goal of the study was to, by designing future strategies and predicting the variance
and volatility of the assets, see if it is possible to profit on the spread. The variance and
covariance was prognosed using a multivariate GARCH model.
The bivariate model seemed to fit the data very well shown by the Akaike information
criterion - which was significant at the 1% level.
Several strategies were tested to see if they drastically could beat a passive strategy. The
strategies yearly returns were averaging around 20% however the short-term risk is
substantial - indicating that this enterprise should not be undertaken without considerable
resources. (Less)
Please use this url to cite or link to this publication:
author
Raihle, William
supervisor
organization
year
type
M2 - Bachelor Degree
subject
keywords
economic policy, economic theory, econometrics, Economics, heating oil, multivariate GARCH, crude oil, crack spread, economic systems, ekonomisk politik, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system
language
English
id
1334398
date added to LUP
2006-05-23
date last changed
2010-08-03 13:38:13
@misc{1334398,
  abstract     = {Abstract
Ky words: crack spread, mde oil, heating oil, mz,tLtivariate GARCH
This thesis was performed using daily one-month future prices from 1996 until 2004; on
the two assets that make up the heating oil spread i.e. crude oil and heating oil, traded on
the New York mercantile exchange (NYMEX).
The goal of the study was to, by designing future strategies and predicting the variance
and volatility of the assets, see if it is possible to profit on the spread. The variance and
covariance was prognosed using a multivariate GARCH model.
The bivariate model seemed to fit the data very well shown by the Akaike information
criterion - which was significant at the 1% level.
Several strategies were tested to see if they drastically could beat a passive strategy. The
strategies yearly returns were averaging around 20% however the short-term risk is
substantial - indicating that this enterprise should not be undertaken without considerable
resources.},
  author       = {Raihle, William},
  keyword      = {economic policy,economic theory,econometrics,Economics,heating oil,multivariate GARCH,crude oil,crack spread,economic systems,ekonomisk politik,Nationalekonomi,ekonometri,ekonomisk teori,ekonomiska system},
  language     = {eng},
  note         = {Student Paper},
  title        = {Predicting the heating oil spread, speculation in the oil market},
  year         = {2006},
}