IDEAS home Printed from https://ideas.repec.org/a/ist/ancoec/v12y2010i1p1-17.html
   My bibliography  Save this article

Turkiye Petrol Fiyatlari Oynakliginin Modellenmesi

Author

Listed:
  • Esin FIRUZAN

    (Dokuz Eylul University)

Abstract

Nowadays, volatility of crude oil price is one of the important developments which are followed by experts with care. Recently increasing of crude oil price is very important for Turkey which 40% of energy consumption consists of oil and 90% of this amount is imported. The aim of the study is investigate whether the series of crude oil price shows volatility, if it shows the structure, size and continuity of volatility. Besides, for these economical variables, best intervention model which shows the structure of volatility is estimated. During the period between January 1981- December 2007, unit root tests are shown that the level and volatility of time series is not stationary. It is thought that the series can be nonstationary due to the presence of interventions and so the intervention analysis is applied. Based on the results of intervention analysis, it is obtained that one intervention variable is statistical significant. During these analyses, SAS/ETS, MINITAB 14 and Eviews 5.1 are used in some steps. It is tried to generate the econometric model with lagged crude oil price with intervention variable.

Suggested Citation

  • Esin FIRUZAN, 2010. "Turkiye Petrol Fiyatlari Oynakliginin Modellenmesi," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 12(1), pages 1-17, November.
  • Handle: RePEc:ist:ancoec:v:12:y:2010:i:1:p:1-17
    as

    Download full text from publisher

    File URL: http://eidergisi.istanbul.edu.tr/sayi12/iueis12m1.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Crude Oil; Intervention; Econometrics; Time Series; Volatility; OPEC; Multiple Regression;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

    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:ist:ancoec:v:12:y:2010:i:1:p:1-17. 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: Ertugrul YASAR (email available below). General contact details of provider: https://edirc.repec.org/data/ifisttr.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.