Daily seasonality in crude oil returns and volatilities

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• 作者：Benjamin R. Auer ; ^{auer@wifa.uni-leipzig.de" class="auth_mail}
• 关键词：C10 ; G10
• 刊名：Energy Economics
• 出版年：May, 2014
• 年：2014
• 卷：43
• 期：Complete
• 页码：82-88
• 全文大小：507 K

文摘

In this article, we test for the existence of daily seasonality in returns and volatilities of crude oil. Using a dummy-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on Mondays are significantly higher than on all other weekdays, providing the important insight that seasonal effects should be considered when forecasting crude oil volatility. (ii) Returns on the other hand tend to be lower on Mondays than on other weekdays, suggesting profitable investment strategies based on this seasonal pattern. In fact, the analysis of a simple long-short trading rule based on the Monday effect provides some evidence that it can outperform a passive buy-and-hold approach. However, it cannot do so to an extent that is statistically significant. (iii) Our seasonality results are fairly robust to the choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH.