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Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis

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  • Mert URAL

Abstract

In recent years and global financial crisis period, oil prices are characterized by high volatilities. The aim of this paper is to evaluate the comparative performance of volatility models and to reveal the effects of global financial crisis on volatility by using daily returns of crude oil prices. According to the sample periods, the results of models highlight that APGARCH and FIAPGARCH models with Student-t and Skewed Student-t distributions best fit oil prices. Furthermore, when considering the global financial crisis, the results show that the crude oil prices are characterized by high volatilities and have long memory effects, as expected.

Suggested Citation

  • Mert URAL, 2016. "Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(29).
    • Handle: RePEc:sos:sosjrn:160308
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    References listed on IDEAS

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    Cited by:

    1. Samuel D. Barrows, 2020. "Did the US Shale Oil Revolution Ruin Oil Industry Stock Market Returns?," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 1-8.

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    More about this item

    Keywords

    Crude Oil; Volatility; Asymmetry; Long Memory.;
    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
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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