Modelling oil price volatility

Narayan, S and Narayan, P 2007, 'Modelling oil price volatility', Energy Policy, vol. 35, no. 12, pp. 6549-6553.

Document type: Journal Article
Collection: Journal Articles

Title Modelling oil price volatility
Author(s) Narayan, S
Narayan, P
Year 2007
Journal name Energy Policy
Volume number 35
Issue number 12
Start page 6549
End page 6553
Total pages 5
Publisher Elsevier
Abstract In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various sub-samples, there is inconsistent evidence of asymmetry and persistence of shocks; and (2) over the full sample period, evidence suggests that shocks have permanent effects, and asymmetric effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time.
Subject Environment and Resource Economics
Keyword(s) Conditional Heteroskedasticity
DOI - identifier 10.1016/j.enpol.2007.07.020
Copyright notice © 2007 Elsevier Ltd. All rights reserved.
ISSN 0301-4215
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Citation counts: TR Web of Science Citation Count  Cited 132 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 91 times in Scopus Article | Citations
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