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On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility

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  • Le, Thai-Ha
  • Boubaker, Sabri
  • Bui, Manh Tien
  • Park, Donghyun

Abstract

This study investigates the impacts of crude oil-market-specific fundamental factors and financial indicators on the realized volatility of West Texas Intermediate (WTI) crude oil price. A time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV) is applied to weekly data series spanning January 2008 to October 2021. It is found that the WTI oil price volatility responds positively to a shock in oil production, oil inventories, the US dollar index, and VIX but negatively to a shock in the US economic activity. The response to the EPU index was initially positive and then turned slightly negative before fading away. The VIX index has the most significant effect. Furthermore, the time-varying nature of the response of the WTI realized oil price volatility is evident. Extreme effects materialize during economic recessions and crises, especially during the COVID-19 pandemic. The findings can improve our understanding of the time-varying nature and determinants of WTI oil price volatility.

Suggested Citation

  • Le, Thai-Ha & Boubaker, Sabri & Bui, Manh Tien & Park, Donghyun, 2023. "On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility," Energy Economics, Elsevier, vol. 117(C).
    • Handle: RePEc:eee:eneeco:v:117:y:2023:i:c:s014098832200603x
    DOI: 10.1016/j.eneco.2022.106474
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    More about this item

    Keywords

    West Texas intermediate (WTI); Realized crude oil price volatility; COVID-19 pandemic; Time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV); VIX;
    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
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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