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Crude oil market and global financial crisis - structural break and market volatility analysis

机译：原油市场与全球金融危机-结构性突破与市场波动性分析

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This research paper aims to analyse the impact of the recent global financial crisis on the volatility of crude spot markei in India. I he data has been collected for the period 2005 to 2014 from Mulii Commodity Exchange, India. This paper first uses Ramsay RRSET test to check (he linearity of the relationship between spot and futures natural log returns. For structural hrcak analysis, tests like Chow test, Chow forecast test, recursive estimates of CUSUM test and CUSUM of squares test have been performed on the monthly data of spot and futures price return series. No evidence of structural break was found in any test except CUSUM of squares test. Using EG ARCH model with a dummy, we found that there was no effect of (he global financial crisis on the volatility of crude spot market. The possible reason for the volatility of crude in 2008 could be financialisation of commodity exchanges and excessive speculalion in crude oil futures.
机译：本研究报告旨在分析最近的全球金融危机对印度原油现货市场波动的影响。我从印度Mulii商品交易所收集了2005年至2014年期间的数据。本文首先使用Ramsay RRSET检验进行检验（即现货和期货自然对数收益之间关系的线性。对于结构性hrcak分析，已经进行了Chow检验，Chow预测检验，CUSUM检验的递归估计和CUSUM平方检验的检验）。在现货和期货价格回报序列的月度数据上。除平方检验的CUSUM之外，在任何检验中都没有发现结构性破坏的证据。使用带有假人的EG ARCH模型，我们发现（全球金融危机对2008年原油波动的可能原因可能是商品交易所的金融化和原油期货的过度投机。

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