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Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures

Lindeke, Niklas LU (2015) NEKH01 20151
Department 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.
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author
Lindeke, Niklas LU
supervisor
organization
course
NEKH01 20151
year
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},
  keyword      = {Volatility,Brent Crude,Oil,HAR-RV,Implied Volatility},
  language     = {eng},
  note         = {Student Paper},
  title        = {Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures},
  year         = {2015},
}