Energy sector uncertainty decomposition: New approach based on implied volatilities

Nikkinen Jussi; Rothovius Timo

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Energy sector uncertainty decomposition: New approach based on implied volatilities

机译：能源部门不确定性分解：基于隐含波动率的新方法

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The source(s) of uncertainty for energy sector companies is of interest for managers and investors, both trying to manage the uncertainty. In this paper, we suggest decomposing this uncertainty into crude oil and stock market uncertainty components. Using time-series data on implied volatility indexes, we estimate the weights of the components (55% and 45%, respectively) by applying a maximum likelihood method. We find that the model accounts for 69% of the variability in the changes of energy sector uncertainty. Furthermore, we report that during high public interest in crude oil, measured by internet interest using crude oil related search terms, the weight of the crude oil (stock market) component increases (decreases), but when the price of oil or implied volatilities of crude oil or stock markets are high, it decreases (increases). Thus, we contribute by showing how energy sector companies' market uncertainty can be divided into separate components; by suggesting how the weights of the components can be estimated using implied volatilities; and by providing empirical evidence on the effects of public interest and general crude oil and stock market conditions on the obtained weights.

机译：能源行业公司不确定性的来源对管理者和投资者都很有帮助，他们都试图管理不确定性。在本文中，我们建议将此不确定性分解为原油和股市不确定性组成部分。使用隐含波动率指数的时间序列数据，我们通过应用最大似然法来估计成分的权重（分别为55％和45％）。我们发现，该模型占能源行业不确定性变化的69％。此外，我们报告说，在对原油的公共利益很高的情况下，通过使用与原油相关的搜索词的互联网兴趣来衡量，原油（股票市场）组成部分的权重会增加（减少），但是当油价或隐含波动率原油或股市高，它减少（增加）。因此，我们通过展示如何将能源行业公司的市场不确定性分为不同的部分来做出贡献；通过建议如何使用隐含波动率来估算组件的重量；并且通过提供关于公共利益以及一般原油和股票市场状况对所获得权重影响的经验证据。

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来源
《Applied Energy》 |2019年第15期|141-148|共8页
作者
Nikkinen Jussi; Rothovius Timo;
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作者单位

Univ Vaasa, Sch Accounting & Finance, Vaasa, Finland|Univ Vaasa, Dept Accounting & Finance, POB 700, FIN-65101 Vaasa, Finland;

Univ Vaasa, Sch Accounting & Finance, Vaasa, Finland;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Crude oil; Energy company; Uncertainty; Volatility; Risk;

机译：原油;能源公司;不确定性;波动性;风险;

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Energy sector uncertainty decomposition: New approach based on implied volatilities

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