A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading

A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading

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-volatilit...

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Bibliographic Details
Main Authors: Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa, José Álvarez-García
Format: Article
Language:English
Published: MDPI AG 2019-12-01
Series:Energies
Subjects:
markov-switching
markov-switching garch
energy futures
commodities
portfolio management
active investment
diversification
institutional investors
energy price hedging
Online Access:https://www.mdpi.com/1996-1073/13/1/129

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https://www.mdpi.com/1996-1073/13/1/129

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