Volatility relationship between crude oil and petroleum products

被引：20
|
作者：
Lee T.K. [1 ]
Zyren J. [2 ]
机构：
[1] School of Business Administration, Marymount University, Arlington, VA 22207-4299
[2] Energy Information Administration, The Department of Energy, Washington
来源：
Atlantic Economic Journal | 2007年 / 35卷 / 1期
关键词：
Asymmetric response; GARCH; Oil markets; Petroleum product; Price volatility;
D O I：
10.1007/s11293-006-9051-9
中图分类号：
学科分类号：
摘要：
This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility to a change in OPEC's pricing behavior. This study has three major conclusions. First, there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 1999. Second, volatility shocks from current news are not important since GARCH effects dominate ARCH effects in the variance equation. Third, persistence of volatility in all commodity markets is quite transitory, with half-lives normally being a few weeks. © International Atlantic Economic Society 2007.
引用
收藏
页码：97 / 112
页数：15
相关论文
共 50 条
  • [1] Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility
    Song, Yixuan
    He, Mengxi
    Wang, Yudong
    Zhang, Yaojie
    RESOURCES POLICY, 2022, 79
  • [2] Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model
    Jiang, Yong
    Ma, Chao-Qun
    Yang, Xiao-Guang
    Ren, Yi-Shuai
    SUSTAINABILITY, 2018, 10 (12)
  • [3] Volatility-of-volatility risk in the crude oil market
    Roh, Tai-Yong
    Tourani-Rad, Alireza
    Xu, Yahua
    Zhao, Yang
    JOURNAL OF FUTURES MARKETS, 2021, 41 (02) : 245 - 265
  • [4] Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models
    Oyuna, Dondukova
    Liu Yaobin
    SAGE OPEN, 2021, 11 (03):
  • [5] Volatility Linkages Between Price Returns of Crude Oil and Crude Palm Oil in the ASEAN Region: A Copula Based GARCH Approach
    Kiatmanaroch, Teera
    Puarattanaarunkorn, Ornanong
    Autchariyapanitkul, Kittawit
    Sriboonchitta, Songsak
    INTEGRATED UNCERTAINTY IN KNOWLEDGE MODELLING AND DECISION MAKING, IUKM 2015, 2015, 9376 : 428 - 439
  • [6] Effect of inventory announcements on crude oil price volatility
    Bu, Hui
    ENERGY ECONOMICS, 2014, 46 : 485 - 494
  • [7] Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
    Gupta, Rangan
    Pierdzioch, Christian
    ENERGIES, 2021, 14 (14)
  • [8] Uncertainty and crude oil market volatility: new evidence
    Liang, Chao
    Wei, Yu
    Li, Xiafei
    Zhang, Xuhui
    Zhang, Yifeng
    APPLIED ECONOMICS, 2020, 52 (27) : 2945 - 2959
  • [9] Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes
    Gong, Xu
    Lin, Boqiang
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2022, 27 (01) : 610 - 640
  • [10] Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models
    Agnolucci, Paolo
    ENERGY ECONOMICS, 2009, 31 (02) : 316 - 321
12345