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OPEC news announcements: Effects on oil price expectation and volatility

Harald Schmidbauer and Angi Rösch

Energy Economics, 2012, vol. 34, issue 5, 1656-1663

Abstract: Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (no change, increase, or cut) will be announced. The purpose of our investigation is to assess the impact of OPEC announcements on expectation and volatility of daily oil price changes (returns).

Keywords: Crude oil price volatility; GARCH; Covariates; Modified dummy variables; OPEC announcements; WTI crude oil (search for similar items in EconPapers)
JEL-codes: C51 N70 (search for similar items in EconPapers)
Date: 2012
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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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