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An introduction to oil market volatility analysis

机译：石油市场波动性分析简介

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摘要

Modelling and forecasting crude oil price volatility is crucial in many financial and investment applications. The main purpose of this paper is to review and assess the current state of oil market volatility knowledge. It highlights the properties and characteristics of the oil price volatility that models seek to capture, and discuss the different modelling approaches to oil price volatility. Asymmetric response to price change, persistence and mean reversion, structural breaks, and possible market spillover of volatility are discussed. To complement the discussion, West Texas Intermediate futures price data are used to illustrate these properties using non-parametric and conditional modelling methods. The generalised autoregressive conditional heteroskedasticity-type models usually applied in the oil price volatility literature are also explored. We additionally examine the exogenous factors that may influence volatility in the oil markets.
机译：在许多金融和投资应用中，建模和预测原油价格波动至关重要。本文的主要目的是回顾和评估石油市场波动性知识的现状。它突出显示了模型试图捕捉的石油价格波动的特性和特征，并讨论了石油价格波动的不同建模方法。讨论了对价格变化，持续性和均值回归，结构性断裂以及市场波动可能溢出的不对称响应。为了补充讨论，使用西德克萨斯中质期货价格数据使用非参数和条件建模方法来说明这些属性。还探讨了通常用于石油价格波动性文献中的广义自回归条件异方差型模型。我们还检查了可能影响石油市场波动的外在因素。

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  • 来源
    《OPEC energy review》 |2013年第3期|247-269|共23页
  • 作者

    Walid Matar; Saud M. Al-Fattah; Tarek Atallah; Axel Pierru;

  • 作者单位

    Energy Research, King Abdullah Petroleum Studies and Research Center (KAPSARC), Riyadh, Saudi Arabia;

    Energy Research, King Abdullah Petroleum Studies and Research Center (KAPSARC), PO Box 88550, Riyadh 11672, Saudi Arabia;

    Energy Research, King Abdullah Petroleum Studies and Research Center (KAPSARC), Riyadh, Saudi Arabia;

    Energy Research, King Abdullah Petroleum Studies and Research Center (KAPSARC), Riyadh, Saudi Arabia;

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