Spread, inventory and spot price volatility in the platinum market

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dc.contributor.advisorHassan, Shakillen_ZA
dc.contributor.authorWilks, Meganen_ZA
dc.date.accessioned2015-02-11T14:16:04Z
dc.date.available2015-02-11T14:16:04Z
dc.date.issued2011en_ZA
dc.descriptionIncludes bibliographical referencesen_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationWilks, M. (2011). <i>Spread, inventory and spot price volatility in the platinum market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/12453en_ZA
dc.identifier.chicagocitationWilks, Megan. <i>"Spread, inventory and spot price volatility in the platinum market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011. http://hdl.handle.net/11427/12453en_ZA
dc.identifier.citationWilks, M. 2011. Spread, inventory and spot price volatility in the platinum market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Wilks, Megan AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Spread, inventory and spot price volatility in the platinum market TI - Spread, inventory and spot price volatility in the platinum market UR - http://hdl.handle.net/11427/12453 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12453
dc.identifier.vancouvercitationWilks M. Spread, inventory and spot price volatility in the platinum market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12453en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleSpread, inventory and spot price volatility in the platinum marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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