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Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes

Author

Listed:
  • Luis A. Gil-Alana

    (University of Navarra, Pamplona, Spain)

  • Rangan Gupta

    (Department of Economics, University of Pretoria)

  • Olusanya E. Olubusoye

    (Department of Statistics, University of Ibadan, Ibadan, Nigeria)

  • OlaOluwa S. Yaya

    (Department of Statistics, University of Ibadan, Ibadan, Nigeria)

Abstract

This paper deals with the analysis of crude oil prices in the context of fractional integration and using bull and bear phases over the monthly period of 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

  • Luis A. Gil-Alana & Rangan Gupta & Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2015. "Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes," Working Papers 201580, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201580
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    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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