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Measuring oil price volatility

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  • 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.

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File URL: http://irs.ub.rug.nl/ppn/241208939
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Bibliographic Info

Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 02C43.

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Date of creation: 2002
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Handle: RePEc:dgr:rugsom:02c43

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Cited by:
  1. 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.
  2. 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.
  3. 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.

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