Browsing Documentos de Trabajo by Subject "Leverage"
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Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
(Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2020-02)Seven GARCH and stochastic volatility (SV) models are used to model and compare empirically the volatility of returns on four commodities: gold, copper, oil, and natural gas. The results show evidence of fat tails and ...