HIGH AND LOW INTRADAY COMMODITY PRICES: A FRACTIONAL INTEGRATION AND COINTEGRATION APPROACH

OlaOluwa S. Yaya ； Luis A. Gil-Alana

《Advances in Investment Analysis and Portfolio Management》 10期 (2020/12) Pp. 1-27

https://doi.org/10.6291/AIAPM.202012_(10).0001

摘要

This paper examines the behaviour of high and low prices of four commodities, namely crude oil, natural gas, gold, and silver, and of the corresponding ranges using both daily and intraday data at various frequencies. It applies fractional integration and cointegration techniques; a fractionally cointegrated vector autoregressive (FCVAR) model is estimated to capture both the long-run equilibrium relationships between high and low commodity prices, and the long-memory properties of their linear combination. Fractional cointegration is found in all cases, with the range showing stationary and nonstationary patterns and changing substantially across frequencies.

關鍵字

Commodity Prices ； Intraday ； Fractional Integration ； Fractional Cointegration ； FCVAR

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