The future impact of oil volatility on commodity prices
ČlánekOtevřený přístuppeer-reviewedpublishedDatum publikování
2010
Vedoucí práce
Oponent
Název časopisu
Název svazku
Vydavatel
Univerzita Pardubice
Abstrakt
The aim of this research was to compare two methods used in terms of oil volatility
and its effects on the development of different commodities. We tried to find out if there is any
positive or negative relationship between price movements and if the volatility prices of oil
affect the volatility prices of silver, copper and aluminium. For the purpose of this study we
used GARCH and VAR models. When examining oil volatility by VAR model, we used the
Granger-Causality test to find causality between commodities. And at the end of this research
we examined by the impulse responses and the variance decompositions whether changes in
the value of a given commodity have a positive or negative effect on other commodities in the
system, or how long it would take for the effect of that commodity to work through the
system.
Rozsah stran
p. 6-19
ISSN
1211 – 555X
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Zdrojový dokument
Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 16 (1/2010)
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Klíčová slova
volatility, VAR, GARCH, commodity, oil