✦ LIBER ✦

Modeling and forecasting the volatility of petroleum futures prices

✍ Scribed by Kang, Sang Hoon; Yoon, Seong-Min

Book ID: 121434866
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 906 KB
Volume: 36
Category: Article
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2012.09.010

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## Abstract Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimates of daily index volatility from January 1986 to December 1998. These realized volatility measures are used to obtain inferences about the distributional and autocorrelation properties of FTSE‐