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

Mert Ural

Sosyoekonomi Journal, 2016, issue 24(29)

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 APGARCH and FIAPGARCH models with Student-t and Skewed Student-t distributions best fit oil prices. 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.

Keywords: Crude Oil; Volatility; Asymmetry; Long Memory. (search for similar items in EconPapers)
JEL-codes: C22 C52 Q43 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:sos:sosjrn:160308

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