Volatility-based models in the Energy Market

Bc. Aleksandre Tavadze

Bakalářská práce

Anotace:

This thesis investigates the volatility dynamics of two contrasting energy assets: WTI Crude Oil and First Solar Inc. (FSLR), over the 2015–2024 period. Using GARCH (1,1), EWMA, Garman-Klass, and Rolling SD models, it compares their volatility be-haviours and tests event-based dummy variables. Results show that WTI reacts strongly to short-term shocks, while FSLR exhibits gradual, policy-linked volatility. These insights provide guidance for investors and highlight volatility as a policy-sensitive feature in renewable markets.

Abstract:

This thesis investigates the volatility dynamics of two contrasting energy assets: WTI Crude Oil and First Solar Inc. (FSLR), over the 2015–2024 period. Using GARCH (1,1), EWMA, Garman-Klass, and Rolling SD models, it compares their volatility be-haviours and tests event-based dummy variables. Results show that WTI reacts strongly to short-term shocks, while FSLR exhibits gradual, policy-linked volatility. These insights provide guidance for investors and highlight volatility as a policy-sensitive feature in renewable markets.

Keywords

Volatility, GARCH, Renewable energy, Crude Oil, FSLR, Energy Markets, Policy Impact, EWMA, Time-Series Analysis, Risk Management

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 28. 4. 2025

Obhajoba závěrečné práce

• Obhajoba proběhla 9. 6. 2025
• Vedoucí: Ing. Michala Moravcová, Ph.D.
• Oponent: B.Sc. Andrea Rigamonti, M.Sc.

Masarykova univerzita

Ekonomicko-správní fakulta

Bakalářský studijní program / obor:
Business Management and Finance / Business Management and Finance