Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis

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Sosyoekonomi
Volume:24 Issue:29
Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis

Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis

Authors : Mert URAL

Pages : 167-181

Doi:10.17233/se.2016.06.006

View : 11 | Download : 12

Publication Date : 2016-10-29

Article Type : Research Paper

Abstract :In recent years and global financial crisis period, oil prices are characterized by high volatilities. The aim of this paper is to evaluate the comparative performance of volatility models and to reveal the effects of global financial crisis on volatility by using daily returns of crude oil prices. According to the sample periods, the results of models highlight that oil prices are best fit by APGARCH and FIAPGARCH models with Student-t and Skewed Student-t distributions. Furthermore, when considering the global financial crisis, the results show that the crude oil prices are characterized by high volatilities and have long memory effects, as expected.
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