IDEAS home Printed from https://ideas.repec.org/p/gro/rugsom/02c43.html
   My bibliography  Save this paper

Measuring oil price volatility

Author

Listed:
  • Kuper, Gerard H.

    (Groningen University)

Abstract

In this paper we try to measure oil price uncertainty. The measure of uncertainty is based on the conditional standard deviations. The time-varying conditional standard deviations are estimated using univariate (G)ARCH moels. We focus on volatility of the price of a barrel Brent crude, over the period 5 January, 1982 to 23 April, 2002 representing 5296 daily observations. The preferred model is a symmetric GARCH(1,3) model. Asymmetric leverage effects are not found. We also examine the volatility in monthly time series for the period January, 1970 to April, 2002. For this time span and frequency we prefer the GARCH(1,1) model.

Suggested Citation

  • Kuper, Gerard H., 2002. "Measuring oil price volatility," Research Report 02C43, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:02c43
    as

    Download full text from publisher

    File URL: http://irs.ub.rug.nl/ppn/241208939
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Arturo Lorenzo Valdés & Rocío Durán Vázquez & Leticia Armenta Fraire, 2012. "Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 7(1), pages 49-63, Enero-Jun.
    2. Arturo Lorenzo Valdés & Rocío Durán Vázquez & Leticia Armenta Fraire, 2012. "Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
    3. Haryo Kuncoro, 2011. "The volatility of world crude oil prices," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(1), pages 1-15, April.
    4. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
    5. Ali Ahmed, Huson Joher & Wadud, I.K.M. Mokhtarul, 2011. "Role of oil price shocks on macroeconomic activities: An SVAR approach to the Malaysian economy and monetary responses," Energy Policy, Elsevier, vol. 39(12), pages 8062-8069.
    6. Chevillon, Guillaume & Rifflart, Christine, 2009. "Physical market determinants of the price of crude oil and the market premium," Energy Economics, Elsevier, vol. 31(4), pages 537-549, July.
    7. Neville Francis & Sergio Restrepo-Angel, 2018. "Sectoral and aggregate response to oil price shocks in the Colombian economy: SVAR and Local Projections approach," Borradores de Economia 1055, Banco de la Republica de Colombia.
    8. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gro:rugsom:02c43. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hanneke Tamling (email available below). General contact details of provider: https://edirc.repec.org/data/ferugnl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.