This paper aims to investigate the volatility’s dependence between WTI crude oil spot and future returns using the copula based AR-GJR-GARCH model. In empirical study, we apply the mode to fit the joint density function. Further to find the static and dynamic rank correlations. The data period contains Jan. 1, 2001 to Dec. 31, 2014. The results show that Clayton is the best model and rank correlation is high to 0.8 which implies that there is high dependence between oil spot and future return volatility. That will be helpful for risk management and investment decision.
關聯:
Proceeding of the 2015 International Conference in Management Sciences and Decision Making
