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首页> 外文期刊>OPEC energy review >Modelling oil price volatility before, during and after the global financial crisis
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Modelling oil price volatility before, during and after the global financial crisis

机译：对全球金融危机之前，之中和之后的油价波动建模

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摘要

In this paper, we evaluate the comparative performance of volatility models for oil price using daily returns of crude oil price. The innovations of this paper are in three folds: (ⅰ) we consider two prominent oil prices namely Brent and West Texas Intermediate (WTI); (ⅱ) we analyse these prices across three subsamples namely periods before, during and after the global financial crisis; and (ⅲ) we also analyse the comparative performance of both symmetric and asymmetric volatility models for these oil prices. We find inconsistent patterns in the performance of the volatility models over the subsamples. On the average, however, we find evidence of leverage effects in both oil prices and therefore, investors in the oil market react to news. Specifically, we find that bad news in the oil market increased volatility in crude oil price than good news. We also find high level of persistence in the volatility of WTI and Brent although the latter appears more persistent than the former while the period of global financial crisis recorded the highest level of persistence in both prices. Also, we find that during the global financial crisis, risk averse investors shifted assets from the oil market to other less risky assets.
机译：在本文中，我们使用原油价格的日收益率评估了油价波动模型的比较性能。本文的创新包括三个方面：（ⅰ）我们考虑两个突出的石油价格，即布伦特和西德克萨斯中质油（WTI）； （ⅱ）我们通过三个子样本（即全球金融危机之前，之中和之后的时期）分析了这些价格； （ⅲ）我们还针对这些油价分析了对称波动率模型和非对称波动率模型的比较性能。我们在子样本的波动率模型中发现不一致的模式。但是，平均而言，我们发现两种油价都有杠杆效应的证据，因此，石油市场的投资者对新闻做出了反应。具体而言，我们发现石油市场的坏消息比好消息增加了原油价格的波动性。我们还发现WTI和Brent的波动具有高度持久性，尽管后者似乎比前者更具持久性，而全球金融危机期间，这两个价格的持久性都最高。此外，我们发现，在全球金融危机期间，规避风险的投资者将资产从石油市场转移到了其他风险较小的资产上。

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  • 来源
    《OPEC energy review》 |2014年第4期|469-495|共27页
  • 作者

    Afees A. Salisu;

  • 作者单位

    Department of Economics & Centre for Econometric & Allied Research (CEAR), University of Ibadan, Ibadan, Oyo State +234 Nigeria;

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