Modelling Oil Price Volatility with the Beta-Skew-t-EGARCH Framework

Afees Salisu

Economics Bulletin, 2016, vol. 36, issue 3, 1315-1324

Abstract: This paper employs the Beta-Skew-t-EGARCH framework proposed by Harvey and Succarat (2014) to model oil price volatility. It utilizes two prominent oil proxies and also accounts for structural break to gauge the robustness of results. In all, it finds that the approach seems more suitable than the standard symmetric and asymmetric GARCH models if the oil price return exhibits fat tails, leverage and skewness.

Keywords: Oil price; Volatility; Student's t; Skewness; Leverage; Persistence (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2016-07-08
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Citations: View citations in EconPapers (6)

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