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Volatility of Oil Prices

This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic)...

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Bibliographic Details
Main Author: Wickham, Peter
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1996
Series:IMF Working Papers
Subjects:
Inflation
Energy: Demand And Supply
Institutional Investors
Oil Prices
Pension Funds
Finance
Investments: Futures
Oil
Investments: Energy
Financial Institutions
Price Controls
Contingent Pricing
Deflation
Financial Instruments
Prices; Government Policy
General Financial Markets: General (includes Measurement And Data)
Option Pricing
Petroleum Industry And Trade
Derivative Securities
Futures Pricing
Commodities
Price Level
Non-bank Financial Institutions
Energy: General
Financial Markets
Macroeconomics
Prices
Futures Markets
Investment & Securities
Futures
Finance: General
Saudi Arabia
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets
Physical Description:20 pages
ISBN:9781451954722

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