Estimating Volatility in Crude Oil Futures Market with Asymetric Garch Specifications

Many of us deal with the capital markets on the daily basis-as an investor, broker, dealers or financial analysts. To gauge the performance of the market, every one seeks information on the behavior of the market. The present study is an extensive study that estimates crude oil future series with twenty various GARCH specifications of models. This overall exercise executes an idea on the suitability of a specific specification for estimating volatility among the estimated specifications. The results reveal that among the twenty GARCH specifications of models, GJR specifications are found to be better than GARCH and EGARCH specifications.