Autor: |
Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa, José Álvarez-García |
Jazyk: |
angličtina |
Rok vydání: |
2019 |
Předmět: |
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Zdroj: |
Energies, Vol 13, Iss 1, p 129 (2019) |
Druh dokumentu: |
article |
ISSN: |
1996-1073 |
DOI: |
10.3390/en13010129 |
Popis: |
In this paper, we test the use of Markov-switching (MS) GARCH (MSGARCH) models for trading either oil or natural gas futures. Using weekly data from 7 January 1994 to 31 May 2019, we tested the next trading rule: to invest in the simulated commodity if the investor expects to be in the low-volatility regime at t + 1 or to otherwise hold the risk-free asset. Assumptions for our simulations included the following: (1) we assumed that the investors trade in a homogeneous (Gaussian or t-Student) two regime context and (2) the investor used a time-fixed, ARCH, or GARCH variance in each regime. Our results suggest that the use of the MS Gaussian model, with time-fixed variance, leads to the best performance in the oil market. For the case of natural gas, we found no benefit of using our trading rule against a buy-and-hold strategy in the three-month U.S. Treasury bills. |
Databáze: |
Directory of Open Access Journals |
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