Maria del Carmen Garcia Centeno, Ph.D., Quantitative Methods, University CEU San Pablo, C/Julian Romea, Madrid, 28031, Spain and Jose-Maria Montero Lorenzo, Ph.D., Statistics, Castilla-La Mancha University, Cobertizo de San Pedro Mártir s/n, Toledo, 45071, Spain.
This article has a double objective: on the one hand, to study the main stylised facts (especially the asymmetric answer of the volatility) of the different types of energy products. And, the other hand, to analyse the behaviour of these types of series. Two different models are used to estimate volatility in the price of energy products: the autoregressive conditional heteroskedasticity model and the stochastic volatility model. As an asymmetric answer in volatility is detected, a new strategy is presented to model it. The database includes the daily returns of average price of Crude Oil Brent, Natural Gas, Propane, Butane and Gasoline.