Modeling and forecasting crude oil markets using ARCH-type models

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Forecasting the realized volatility of the oil futures market: A regime switching approach (2017, methodology): “Modeling and predicting oil price volatility are investigated based on the framework of the GARCH-class models (e.g., Agnolucci, 2009; Cheong, 2009; Kang et al., 2009; Mohammadi and Su, 2010; Wei et al., 2010; Nomikos and Pouliasis, 2011; Nomikos and Andriosopoulos, 2012; Wang and Wu, 2012; Efimova…”
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, methodology): “Thus, in case of 1 Cheong (2009) employs some variants of GARCH-type models including in particular the GARCH model developed by Bollerslev (1986), the asymmetric power GARCH (APGARCH) model proposed by Ding et al. (1993), the fractionally integrated GARCH (FIGARCH) proposed by Baillie et al.…”