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Comparative Performance of Volatility Models for Oil Price

Year 2012, Volume: 2 Issue: 3, 167 - 183, 01.09.2012

Abstract

In this paper, we compare the performance of volatility models for oil price using daily returns of WTI. The innovations of this paper are in two folds: (i) we analyse the oil price across three sub samples namely period before, during and after the global financial crisis, (ii) we also analyse the comparative performance of both symmetric and asymmetric volatility models for the oil price. We find that oil price was most volatile during the global financial crises compared to other sub samples. Based on the appropriate model selection criteria, the asymmetric GARCH models appear superior to the symmetric ones in dealing with oil price volatility. This finding indicates evidence of leverage effects in the oil market and ignoring these effects in oil price modelling will lead to serious biases and misleading results.

Year 2012, Volume: 2 Issue: 3, 167 - 183, 01.09.2012

Abstract

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Details

Other ID JA85DG46AH
Journal Section Research Article
Authors

Afees A. Salisu This is me

İsmail O. Fasanya This is me

Publication Date September 1, 2012
Published in Issue Year 2012 Volume: 2 Issue: 3

Cite

APA Salisu, A. A., & Fasanya, İ. O. (2012). Comparative Performance of Volatility Models for Oil Price. International Journal of Energy Economics and Policy, 2(3), 167-183.
AMA Salisu AA, Fasanya İO. Comparative Performance of Volatility Models for Oil Price. IJEEP. September 2012;2(3):167-183.
Chicago Salisu, Afees A., and İsmail O. Fasanya. “Comparative Performance of Volatility Models for Oil Price”. International Journal of Energy Economics and Policy 2, no. 3 (September 2012): 167-83.
EndNote Salisu AA, Fasanya İO (September 1, 2012) Comparative Performance of Volatility Models for Oil Price. International Journal of Energy Economics and Policy 2 3 167–183.
IEEE A. A. Salisu and İ. O. Fasanya, “Comparative Performance of Volatility Models for Oil Price”, IJEEP, vol. 2, no. 3, pp. 167–183, 2012.
ISNAD Salisu, Afees A. - Fasanya, İsmail O. “Comparative Performance of Volatility Models for Oil Price”. International Journal of Energy Economics and Policy 2/3 (September 2012), 167-183.
JAMA Salisu AA, Fasanya İO. Comparative Performance of Volatility Models for Oil Price. IJEEP. 2012;2:167–183.
MLA Salisu, Afees A. and İsmail O. Fasanya. “Comparative Performance of Volatility Models for Oil Price”. International Journal of Energy Economics and Policy, vol. 2, no. 3, 2012, pp. 167-83.
Vancouver Salisu AA, Fasanya İO. Comparative Performance of Volatility Models for Oil Price. IJEEP. 2012;2(3):167-83.