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Time series analysis of persistence in crude oil price volatility across bull and bear regimes

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  • Gil-Alana, Luis A.
  • Gupta, Rangan
  • Olubusoye, Olusanya E.
  • Yaya, OlaOluwa S.

Abstract

This paper deals with the analysis of crude oil prices in the context of fractional integration and using bull and bear phases over monthly periods between September, 1859 to July, 2015. We examine both the log prices series as well as volatility, approximated by means of the absolute and the squared returns. The results for the whole sample indicate that the log-prices are nonstationary, with an order of integration close to 1 or even higher than 1, while the squared and absolute returns show evidence of long memory behavior. Upon separating the sample according to bull and bear periods, we observe an increase in the order of integration in both the log-prices and the two measures of volatility. Our results have important policy implications.

Suggested Citation

  • Gil-Alana, Luis A. & Gupta, Rangan & Olubusoye, Olusanya E. & Yaya, OlaOluwa S., 2016. "Time series analysis of persistence in crude oil price volatility across bull and bear regimes," Energy, Elsevier, vol. 109(C), pages 29-37.
    • Handle: RePEc:eee:energy:v:109:y:2016:i:c:p:29-37
    DOI: 10.1016/j.energy.2016.04.082
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    More about this item

    Keywords

    Bull and bear regimes; Oil price; Persistence; Volatility; West Texas Intermediate market;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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