Analisi sulla volatilità del mercato petrolifero con modelli di tipo GARCH

GARCH models have been widely used in financial econometrics due to their ability to capture time-varying volatility in asset returns. In this thesis we will provide a comprehensive overview of these models, from their theoretical foundations to asymmetric extensions. Moreover, we will see how the excess kurtosis, typical of financial assets, is linked to the conditional heteroskedasticity. Finally, we conduct an empirical analysis, employing these models to analyze the Brent crude oil futures, one of the main benchmarks of oil prices.