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THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY

Yıl 2016, Cilt: 14 Sayı: 2, 64 - 76, 23.04.2016

Mert Ural

https://izlik.org/JA33DA64YP

Öz

Oil markets, which have an important role on global economy, have always had a fluctuating process. Especially in recent years and global financial crisis period, oil prices were 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. The results of models highlight that oil prices are best fit by APGARCH and FIAPGARCH models with Skewed Student-t distribution. 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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Ayrıntılar

Birincil Dil Türkçe
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Mert Ural

Yayımlanma Tarihi 23 Nisan 2016
DOI https://doi.org/10.11611/JMER810
IZ https://izlik.org/JA33DA64YP
Yayımlandığı Sayı Yıl 2016 Cilt: 14 Sayı: 2

Kaynak Göster

APA Ural, M. (2016). THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research, 14(2), 64-76. https://doi.org/10.11611/JMER810
AMA 1.Ural M. THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research. 2016;14(2):64-76. doi:10.11611/JMER810
Chicago Ural, Mert. 2016. “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”. Journal of Management and Economics Research 14 (2): 64-76. https://doi.org/10.11611/JMER810.
EndNote Ural M (01 Nisan 2016) THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research 14 2 64–76.
IEEE [1]M. Ural, “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”, Journal of Management and Economics Research, c. 14, sy 2, ss. 64–76, Nis. 2016, doi: 10.11611/JMER810.
ISNAD Ural, Mert. “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”. Journal of Management and Economics Research 14/2 (01 Nisan 2016): 64-76. https://doi.org/10.11611/JMER810.
JAMA 1.Ural M. THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research. 2016;14:64–76.
MLA Ural, Mert. “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”. Journal of Management and Economics Research, c. 14, sy 2, Nisan 2016, ss. 64-76, doi:10.11611/JMER810.
Vancouver 1.Mert Ural. THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research. 01 Nisan 2016;14(2):64-76. doi:10.11611/JMER810