Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Forecasting energy price volatilities and comovements with fractionally integrated MGARCH models
Malvina Marchese, Francesca Di Iorio

Last modified: 2018-05-18


We investigate the use of fractionally integrated MGARCH models from a forecasting and a risk management perspective for energy prices. Our in-sample results show significant evidence of long memory decay in energy price returns volatilities, of leverage effects and of time-varying autocorrelations. The forecasting performance of the models is assessed by the SPA test, the Model Confidence Set and the Value at Risk.


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