VADELİ PETROL FİYATLARINDA REJİMLE DEĞİŞEN VOLATİLİTE

Year 2018, Volume: 15 Issue: 41, 175 - 184, 29.04.2018

AYBEN Koy

Abstract

Büyük
değişimler geçiren vadeli petrol fiyatları, akademisyenler için önemli bir
araştırma konusu olmaya devam etmektedir. Politik ve ekonomik nedenlerle
1990’lı yıllarda düşme eğiliminde olan petrol fiyatları, Asya Krizi sonrası 12
ABD dolarına kadar düşmüş, 2002 itibariyle tekrar yükselmiştir. 2008 krizinden
sonar tekrar düşme eğilimine giren petrol fiyatları, bir daha 100 ABD doları
seviyesine ulaşmamıştır.  Bu çalışma,
Petrol vadeli işlem sözleşmelerinin volatilitesini düşük ve yüksek volatilite
olarak iki rejimli bir Markov Rejim Değişim GARCH modeli ile açıklamaktadır.
yapıda açıklayan çalışmada. Ocak 1990-Ekim 2017 dönemindeki  7077 gözlemlik uzun bir örneklem dönemini ele
alan çalışmada, iki farklı volatilite rejimi arasındaki geçiş olasılıkları ve
durasyonları açıklanmıştır. Petrol vadeli işlem sözleşmesinin volatilitesi,
düşük ve yüksek volatiliteye sahip iki rejim arasında bir markov sürecine bağlı
olarak geçiş yapmaktadır. 

Keywords

MS GARCH, petrol vadeli işlem sözleşmeleri, volatilite

REGIME RELATED VOLATILITY IN OIL FUTURES PRICES

Abstract

Oil futures prices, which have undergone major changes, maintain an important research topic for academics. Oil prices, which tended to decline for political and economic reasons in the 1990s, fell to as low as 12 US dollars after the Asian Crisis, rising again in 2002. The oil prices, which have fallen again after the 2008 crisis, have not reached the level of 100 US dollars again.  This study explains the volatility of petroleum futures contracts as low and high volatility in two regimes by the Markov Regime Switching GARCH model. In the study based on 7077 observations in a long sample period from January 1990 to October 2017, the transition probabilities and durations between two different volatility regimes of oil futures prices are explained. The volatility of the oil futures contract is switching between two regimes with low volatility and high volatility depending on a markov process.

Keywords

MS GARCH, oil futures, volatility

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