Volatility Relationship between Crude Oil and Petroleum Products
作者： Thomas K. Lee , John Zyren
DOI: 10.1007/S11293-006-9051-9
关键词: Econometrics 、 Autoregressive conditional heteroskedasticity 、 Financial economics 、 Forward volatility 、 Volatility (finance) 、 Volatility smile 、 Volatility swap 、 Economics 、 Volatility risk premium 、 Heating oil 、 Implied volatility
摘要: This paper utilizes calculated historical volatility and GARCH models to compare the price behavior of crude oil, motor gasoline heating oil in U.S. markets since 1990. We incorporate a shift variable GARCH/TARCH capture response change OPEC’s pricing behavior. study has three major conclusions. First, there was an increase as result structural higher prices after April 1999. Second, shocks from current news are not important effects dominate ARCH variance equation. Third, persistence all commodity is quite transitory, with half-lives normally being few weeks.
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