期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2010
卷号：2010
期号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：Asymmetric GARCH models were developped for equity stocks to take into account the larger response
of the conditional variance to negative price shocks. We show that these asymmetric GARCH models are
also relevant for modelling commodity prices. Contrary to the equity case, positive shocks are the main
contributors to the conditional variance of commodity prices. The theory of storage, by relating the state
of the inventories of a commodity to its conditional variance, is a serious candidate to explain the
phenomenon, as positive price shocks for commodities usually serve as proxies for the deterioration of
the inventories. We find that this inverse leverage effect, or “inventory effect”, is relatively robust, for
different subsamples, for diverse types of commodities and for different ways of specifying the
asymmetry, though weaker than the leverage effect for equity stocks. Appropriately specifying the
asymmetric conditional variance of commodities could improve risk management, hedging strategies or
Value-at-Risk estimates. Incidentally, the inventory effect sheds some new light on the debate about the
origin of the leverage effect.
