Predicting the heating oil spread, speculation in the oil market
(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:
http://lup.lub.lu.se/student-papers/record/1334398
- author
- Raihle, William
- supervisor
- organization
- year
- 2006
- 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 00:00:00
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Predicting the heating oil spread, speculation in the oil market}}, year = {{2006}}, }