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Spread, inventory and spot price volatility in the platinum market
Includes bibliographical references
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2015
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| _version_ | 1867613157341528065 |
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| access_status_str | Open Access |
| author | Wilks, Megan |
| author2 | Hassan, Shakill |
| author_browse | Hassan, Shakill Wilks, Megan |
| author_facet | Hassan, Shakill Wilks, Megan |
| author_sort | Wilks, Megan |
| collection | Thesis |
| description | Includes bibliographical references |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12453 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:41.113Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12453 Spread, inventory and spot price volatility in the platinum market Wilks, Megan Hassan, Shakill Mathematical Finance Includes bibliographical references The central idea of the theory of storage is that the level of inventory influences the effect that changes in the demand-and-supply conditions have on spot and futures prices. With the use of monthly data for the period January 1992 to January 2010, I find that the predictions of the theory of storage do not always hold in the platinum market. In conflict with the theoretical predictions, I find that: i) demand-and-supply shocks will have the same effect on spot and futures prices, regardless of the level of inventory; and ii) changes in spot prices have very similar effects on the changes in futures prices when inventory is high and when it is low. In support of the theory of storage, I find a significant negative correlation between the volatility of spot prices and inventory throughout the sample period. Thereafter, I test the forecasting ability of the spot price volatility by employing a GARCH-t(1,1) model and find that volatility can be forecast fairly accurately for short periods, during which the spot prices are somewhat stable. 2015-02-11T14:16:04Z 2015-02-11T14:16:04Z 2011 Master Thesis Masters MPhil http://hdl.handle.net/11427/12453 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Wilks, Megan Spread, inventory and spot price volatility in the platinum market |
| thesis_degree_str | Master's |
| title | Spread, inventory and spot price volatility in the platinum market |
| title_full | Spread, inventory and spot price volatility in the platinum market |
| title_fullStr | Spread, inventory and spot price volatility in the platinum market |
| title_full_unstemmed | Spread, inventory and spot price volatility in the platinum market |
| title_short | Spread, inventory and spot price volatility in the platinum market |
| title_sort | spread inventory and spot price volatility in the platinum market |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/12453 |
| work_keys_str_mv | AT wilksmegan spreadinventoryandspotpricevolatilityintheplatinummarket |