Year of Graduation
Modelling the Volatility of Crude Oil Futures Prices
Economics and Statistics
This paper consists of introduction, three chapters and conclusion. The first chapter presents fundamental theory of futures contracts and provides basic information about crude oil futures. In the second chapter, the studies of various authors on the topic of modelling the volatility of futures prices and the choice of explanatory variables are studied in detail. The third chapter presents the empirical part of the study, where the models ARCH, GARCH, ARMA-GARCH, EGARCH, TGARCH and IGARCH are built, from which the best models are selected by means of a comparative analysis of quality assessments. Then, using the selected models, forecasts of futures prices are made and their quality is evaluated.